I use your basic 3 inch ceramic dish...some of my geckos are a little confused by the "lip" of those "escape proof" dishes. You can find them at PetCo. I have also heard of some folks that use clear candle holders or ash trays, and that way the gecko can see the mealworms without having to look over the dish.
WalMart sells these little clear glass mini candle holders.They work absolutely perfect for worm dishes,as they are heavy enough that the geckos cannot tip them over.They are only .50 each,so can get enough worm dishes for each tub in a 20 tub vision rack for only $10!I used to use them for water as well,but now I use delicups as I can just throw them away instead of cleaning them when feeders die in them,calcium get put in their,and the geckos deficate in them.I highly reccomend them for worm dishes to all!
I actually use glass votive/ tealight candle holders, the clear ones. They seem to work really well, and you can find them really cheap (I get them for .99 cent at big name craftstores like Michael's/Hobby Lobby/etc.).
Kind of like these:
The openings on the ones I have are little bigger and deeper. They hold a good bit of mealies, and I've never had one escape. Or, at least not that I'm aware of. I clean my enclosures pretty often, and have never found a jail breaker. The candle holders are very slick, so the worms can't really get a good grip, and usually fall back down into it.
Edit: Anthony, yeah, I have gotten some from Wal-Mart and the Dollar Tree stores. Those are great places to get them as well.