Natural Balance is a good training treat. It comes in a roll and can be cut into small pieces. It is also a complete dog food so for training sessions you don't have to feel bad substituting it for a meal.
I have also had very good results with variations of this recipe:
Tuna Training Treats
3, 5oz cans of tuna in water
1 3/4 cups flour
Preheat oven to 350. Puree the tuna with the water until smooth, add the eggs blend well. In a mixing bowl add flour to the tuna mixture. It should end up being a similar consistency to brownies. I put parchment paper down in a cookie sheet then spread mixture over the parchment paper. Cook for 15 minutes. Remove from oven, lift treats out of cookie sheet with parchment paper. Cool and cut using pizza cutter into bite sized squares.
I have found that this recipe also works with canned chicken and canned salmon. You can also use rice flour instead of wheat flour if you have a dog with allergies.