I think that they live on a variety of different things, i've heard of both sand and hard baked earth. I guess it's really hard to find out unless someone actually goes to look for them in the wild. With most reptiles, locals catch them, ship them over, and the distributors/vendors here get them.
Thing with leopard geckos are that they're rarely shipped over anymore, making the wild types much more expensive.
The wild types aren't inbred, and living in their natural environment keeps them as they were hundreds of years ago, but keeping them in captivity has made them much more docile im guessing, and also weaker. I've heard that the wild ones are much more muscular and alert.