it's best to feed them a variety, frozen shrimp, mysis, krill, silversides, squid, etc.--feeder fish generally aren't as nutritious (unless gut-loaded, but are kinda expensive too)--but soak them in vitamins, and everyone will eat the lion fish will be the hardest to train---
I had to "dangle" food in front of him for like a week before he would snatch at it--