There is a lot to be said about this, but in short: birds cannot live by seeds alone. The thing to feed parrots is a nutritionally complete pellet, supplemented by fresh fruits and vegetables (NEVER avocado) and cooked pasta and beans. My vet said no more than 10% of a bird's diet should be seed, and she preferred zero.
Some people quite religiously (and with an air of self-righteousness, I must say) feed their birds ONLY pellets. Given all of the talk about the importance of mental stimulation for parrots, I can't imagine feeding my bird nothing but pellets, pellets, pellets. I think he would become as bored as I would be if I were fed nothing but oatmeal. Furthermore, I once heard someone say that no one knows EXACTLY what parrots need, and that they should have their diet varied because it would help add mystery nutrients that weren't in the pellets. I wholeheartedly agree with this statement, since parrots have not received that much scientific attention over the years, although this situation is improving.
I don't think even the most sanctimonious pellet-feeder would deny that it is good to feed your bird fresh fruits and veggies. I feed Bibo chopped apple (his favorite!), grated carrot and zucchini, little bitty pieces of broccoli (I was warned against giving him too much of this or of spinach, although I don't remember why), grapes, thawed frozen mixed veggies (he doesn't like the peas, and I don't blame him), carrot tops, the edges of red leaf lettuce (I have read that it is not good to feed birds lettuce as it has little nutritional content), kale, and whatever else looks good that I have on hand. Sprouted bird seed would be great, but I just can't get it right.
I work hard to keep up on what is poisonous to birds (avoid any kind of fruit seeds as a rule of thumb, and no rhubarb) so I can avoid slipping Bibo a mickey.
Remember to not mix wet food with the dry food: use two separate dishes. Remove the wet stuff before you put the bird to sleep ... or, in the hot summer months, as soon as it starts to seem off in any way. (Two hours was about it for us this summer.)Err on the side of caution! Don't let being cheap do your expensive (and, hopefully, well-loved) pet in! Finally, keep an eye on the bottom of the bird cage. Wet food scattered a la conure grows mold REALLY QUICKLY. Be sure to keep the cage extra clean so you don't do your bird's health any damage through neglect.
As far as pellets go, I am quite satisfied with L'Avian's pellets, which I fed my first bird, Opal. However, Bibo was weaned on Zupreem's pellets, which I like better because they are multicolored and, I think, do more for him mentally than the rabbit-food looking L'Avian. I don't feel like I'm punishing him when I feed him Zupreem, and he will actually pick it out of his dish. I recommend always having some dry food available for your bird, which to me would mean a mixture that was 90% Zupreem and L'Avian and 10% hookbill fruit and veggie seed mix.
I also feed Bibo a bean and pasta mix that I cook up for him and keep in the fridge for a few days. Down at Exclusive Exotics in Renton, Washington, they sell a super bean mix that requires extra soaking. But they serve it with fresh veggies mixed in, and when I went to get Bibo after boarding him there he looked like a little kid who'd been in a pie eating contest. L'Avian Bean Cuisine is also pretty great. It cooks pretty easily and comes with pasta (which the other mix doesn't). This food can also be cooked in advance and frozen if cooking is a problem for you. This stuff is well-loved by my birds (yes, the canary likes it too), and I recommend it as a great supplement to your bird's diet.
Bibo's diary
Conure information
Parrot care: general
Parrot care: bird psychology (just like for kids!)
Teach your bird tricks
Make your own bird toys!