Fuzzy caterpillars and feather dusters are fun, but there's only one Ultimate Cat Toy: live moths. They like to cluster around our porch light, so one or two often get inside when we open the door. Unfortunately, the boys play too rough, so moth hunting sessions tend to be brief.
It may be because the moths are sluggish from the cold weather outside, but they don't seem able to figure out that the ceiling would be safe. Instead they flutter around between three and five feet off the ground. This improves their entertainment value, but not their longevity.
Petco sells live crickets as food for frogs and reptiles. We have resisted the temptation to buy some for the boys. We're worried they would escape to the basement or into the walls, and then we'd have both cricket chirps and insane kittens to deal with. *shudder*