When feeding goldfish live foods are the best. But, they carry the risk of transferring diseases to your fish and aquarium. They can be obtained in small quantities from most local aquarium stores in one to two serving sizes. If obtained from a local store it is pretty safe as it is probably grown on site and fed to their own fish. The only live foods that generally do NOT have the potential to carry disease transferable to your fish are brine shrimp and earthworms.
The most common live foods are brine shrimp, earthworms, tubifex worms, whiteworms, drosophila, daphnia, and bloodworms.
Caution: It is not a good idea to go searching in lakes and ponds for live food as there is a very high risk of parasites and other infectious diseases.