I suppose it would be one that mimics the environment that you’d find the insect in if it was wild. Most of the edible ones – such as meal worms, crickets, ants, locusts, termites and bees – probably could be raised in a ventilated plastic bin (one that has holes in that are big enough to let air in, but not big enough to let the insects out) kept at room temperature with some form of food source – oats seem to be a popular choice.
As the other guys have said – replicate the environment you’d find them in naturally. I’ve got no experience with insects apart from the wormery and ant farms we had at school – and I wasn’t that keen on creepy-crawlies then.
If you do try farming anything, let us know how you get on 🙂