There are several things that I feed mine, most foods are too big so you need to make sure the food is either prepared in very small sizes or that it will break apart into smaller pieces.
I typically feed mine Wardley's shrimp pellets as the staple (these pellets break up into small pieces after they have been in the water for a few minutes, then the gobies suck it right up), Algae Waefers and market shrimp / prawns, etc.. Just keep in mind they are filter feeders so they food must be cut into very small pieces.
On a side note, have any pics? What size aquarium and is it brackish?