Feeder Insects
Cockroaches
Mantids
Phasmids
Assassin Bugs
Beetles
Other Insects

Most kids have tried keeping praying mantises at one time or another. There are a number of strangely shaped and colorful tropical mantises which are now being bred in captivity. They are really only now catching on here in North America, though they've been popular in Europe for some time.
Herper.com's Mantid Pages:

Husbandry of mantids:

Mantid science:

Photos: Stock