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I lived in Okinawa several years ago. My house had a few gecko lizards that entered through a bathroom drain. Thankfully they weren't a huge issue, but they left behind the remains of rather large bugs in and around my house. I wasn't crazy about having an infestation of lizards in my home (not exactly "infestation," more like 2 or 3 in my house during spring and summer. But I don't know where those things came from), although I liked the upside of naturally taking care of large bugs without pesticides.
Let's say I wanted one lizard in my house. Is that a bad idea to keep a lizard out of a cage, roaming free indoors? What would be the best type of lizard to choose from for eating insects? How could you train them (to not leave the house, and to not make a mess)?
It's just an idea I had, while currently dealing with an annoying roach and spider problem in the house I'm staying in.
As a reptile owner, I strongly discourage you from trying this for the safety of the animal. While there are a few breeds of reptiles that can make for great free-roaming pets, they require a lot of very particular care and attention, and you would not want them eating bugs from around your home for fear of them ingesting poisons that may be in the insect's system.
Reptiles are great pets, but if you just want a pet that can also run pest control a cat would be a much simpler (and likely more effective) solution for you. In college my apartment had a small roach problem during the summer, but we only ever saw them dead thanks to my cat.