While it's frequently difficult to see what prey they are taking, one can often infer that it is bees/wasps (the name is "Guepier", wasp-catcher, in French in fact) from the way they land, 'juggle' with it in their bills, and then hit it against a branch to remove the sting.
I think this is rather frequently observed in fact, and they can also at appropriate times be seen feeding over flowering crops, such as rape, which is clearly attracting bees/wasps.