When I started training Pascal I was using finely diced apple, that is still his absolute favourite. I would dice it so fine that it was a real quick treat for him and perfect for training. Then I started using millet for the more simpler tricks, but kept using apple for recall training. Then I bought Harrison's power treats, and lord, Pascal would kill for those. They come in big cubes, so I cut them down to millet size. When I have time I cut them up with small pair of wire cutters, it does the trick. The treat becomes a tiny size, but Pascal is super happy to train with me for those. I try to keep the treats really small otherwise the bird would get full quickly. It is suggested to feed up to one and a half of the power treat cubes per day for small birds.
A treat must be out from your bird's diet, so if you bird is on a seed diet for example, then those seeds cannot be used as a training treat.
Other birds love all kinds of nuts, just my bird is silly enough to hate nuts. He doesn't even like if I crumble them up for him. Eh.