dubia breed slowly, and are only useful if you have something that will eat the fully grown adults which are too big for a lot of things.
Blatta lateralis are excellent, but they lay eggcases and thus require more work. A little trickier to keep going compared to lobsters.
My lobster cultures don't smell much compared to the other two species and a vaseline barrier keeps them in check. I've never known them to fly. Although lateralis is preferable if you are feeding smaller geckos(babies a little bigger than fruitflies), the lobster is a very close replacement to petstore size crickets, from .25 inch up to those fat adult females.