I have 2 Oscars, the one is extremely picky (and always has been) and the other will eat just about anything I put in the tank for it. I tried everything to get the larger Oscar to start eating a more varied diet, and eventually I just started making my own food for them. I basically just pureed cichlid pellets, prawns, a bunch of veggies and some vitamin supplements in a blender added some gelatin powder and froze them in trays. They love it! Not to mention pretty much all my other fish. And they don't even know they are getting all their veggies too . Other than that they get some raw prawn, and crickets on occasion. I use to give them mealworms, but I find with the larger mealworms they seem to have a harder time breaking down the exo-skeleton.
I haven't tried it yet but I've heard from people that if you let the mealworms make it to beetle stage they go crazy for them.