I prefer to feed them as much live food as possible. In nature, they are insectivores, eating any insect that gets close enough to catch.
I feed fruit flies [ flightless], springtails, the flies' larvae, and black worms, along with some frozen bloodworms and frozen Brine shrimp. I also buy some live brine shrimp now and then, for a change.
Two of my four will not eat pellets.. or anything man made, most of the time. So the live foods are pretty much my only choice for these two. I feed Hikari betta pellets to the other two, but only once or twice a week. I feed once a day, but their live foods mostly survive for days, if not weeks, so they hunt them later on.
I also feed scuds.. these are tiny shrimp like critters, one of my Bettas just loves going after them to the point he's wiped out the population in his 5G tank entirely. I have to find some more and culture them so he can have some, but not all, of them.