I’m interested to hear the responses here, though the conventional wisdom seems to support feeding them a concentrate “designed to meet the nutritional needs of foals” (like TC Growth or TC 30), and feeding them an amount appropriate to their age and weight so that they get the right vitamins and minerals in the right balance. It’s important that they not grow too fast, so overfeeding any concentrate is not a good idea. Feed the recommended amount, and make sure they are getting 100% of the RDA of the key nutrients.
Also, they should be supplied free choice good quality forage, alfalfa (but not too much?), and a salt block. Or a mineral block? (but then does this throw off the balance of minerals in the feed?)
I’m planning to supplement my soon-to-be-weaned 5 month old filly with MSM, since there have been some studies showing its anti-inflammatory properties to possibly help with early onset OCD. I figure if given in the appropriate doses, it can’t hurt! My filly was in a stall for most of her first 30 days of life :(, and as she’s been turned out more, she has done a fair amount of running around in the field and slipping in the mud (ARGH!), both of which have been linked to development of OCD. (Yet another thing to worry about!)
Did I miss anything? 
I’m looking forward to hearing from the experts on the board, since they are the best resource! Also, I consulted with Kentucky Equine Research when my mare was in foal, and found them to be most helpful.