A slimeball is a food from Melmac that comes in at least two flavors: wild cherry (with a surprise cherry in the center) and slug (which has an analogous surprise in the center). ALF mentioned that he usually bought wild cherry, but the last time he purchased a slimeball on Melmac, "all they had was slug".
The slimeball that ALF finds in his spaceship had a Melmacian Cockroach in its bag. He first thought that it was an Earth cockroach (as he said, "Well, I think someone's been slacking off on our housekeeping").
Since ALF can't go back to Melmac, the slimeballs from the episode "La Cucaracha" were the last ones ALF ate in his life.
In the comic book, slimeballs were featured more often. ALF seems to at least to some degree been able to recreate the recipe on Earth, as he is shown making and eating "squid slimeballs" a number of times.