Mine like the dumor treats at tractor supply but they are not picky at all. Cheap too, I think it's only $5 or $6 for a couple pounds.
Also, my mom has gotten into a health food craze making homemade granola and they all love to eat the leftovers. Skips LOVES natures valley granola bars, which are my dad any my favorite too. He likes the oats and honey, but doesn't get them much because they do not last long in my house.
Cereal is another treat they love, especially our goats. I did try to follow a recipe I found once with cereal for horse treats but it didn't work out well and I have since given up cooking for the horses, I don't even cook for myself!