Their main food should be a good meat-based cichlid pellet. Maybe something like this:
http://www.drsfostersmith.com/Product/Prod...362&N=2004+6105Beef heart is high in things like protein and iron. They sell it packed in the frozen fish section. Here's the stuff I mean:
http://www.drsfostersmith.com/Product/Prod...=1&N=2004&Nty=1You may be able to get plain beef heart from a traditional butcher shop or an Oriental market.
In addition to live fish and earthworms, you can try crickets and mealworms (one at a time, they drown pretty soon if not eaten).
Oscars don't need live fish. They can introduce parasites, bacteria, and/or fungus since most feeder fish are poorly treated. If you really want to use live fish, you can vary it from goldfish to rosy red minnows to guppies; those are the "feeders" they sell around here. Smaller oscars enjoy bloodworms and other smaller insect larvae and worms too.