Welcome to Gaia! ::

ugghh, wow, I know like nothing about hedgies. Sept that they are extremely cute. I think maybe kip would know about hedgies.

I'm looking into a hedgie right now, I found some places that sell them so it'll be easy for me to obtain them.

Set up is varied. Anyone and everyone will tell you that. It depends on your cage, foods, and general equipment.

Lean towards:
a handmade cage that can be easily motified or moved (think C&C or a pen style).
Bedding: Try to litter train it (they're easy to train), so you can buy some non-dusty non-clumping cat litter for a litter box and put towels down for the rest of the cage. To make sure it's non-dusty, put it in a bin and roll it around for a while, don't let it settle.
Food: A high quality cat food with supplements like worms and fruits (and veggies!) are the most reccomended. There are hedgehog foods on the market, but be careful to not buy the Hedgie equivalent of Alpo by checking the ingredients.
Exercise: A large wheel.. is essential. Ish. I'd get a cheap one first, to see if it'll run on it (some hedgies use it as a bed instead of a treadmill!), and then advance up to a silent spinner or saucer type. Make toys for it the promote movement, like a dig box with worms in it, or a little maze, or even a PVC puzzle if you have the room.
Entertainment: Anything that interests it will entertain it. A plastic spoon to throw around, some non-chewable cat ball toys, and my favorite, a dig box.

Avoid:
Anything shallow or small or enclosed (desert creatures, they dislike moisture)
Bedding: Anything that irritates any other rodent, such as natural pine, softwood beddings, and cedar. Also avoid anything that might be a treat to your little honey, as eating bedding often results in blockages.
Food: Low quality. 'Nuff said.
Exercise: Letting them run free. They're small creatures, and if they have to get cornered to be caught, you'll get a handful of quills.
Entertainment: Anything breakable, chewable, or that has small parts that can be bitten off.

Hedgies should be alright, but I'm (naturally) biased towards guinea pigs and would highly recommend them.

Avoid: Anything directed towards children. The simplest terms don't mean accurate. Look through the whole site, and try to see any inaccuracies that YOU know about, like if it gives the wrong information for fish or cats. If it's wrong there, it'll be wrong where it matters the most. Colours.

Try to find: A site with consistent accuracy lining up to reputable sites, things aimed towards adults, sites with terms you have to look up (that means that they know what they're talking about if they're being technical. Usually). A site that will cite the author's pets. Any proffesional organization aimed towards them that have reputable breeders listed. MOST OF ALL: Try to find breeders to talk to. They'll know what you are looking for, and can answer questions in a more timely fashion then that of a site.

use the living room. Desert creatures do NOT like excess humidity or being chilled. Make sure to provide a secure hide for them, so when you have guests over it can retreat into a safe place where it won't be bothered and can meet everyone when it's ready.

I know others that have them, so I'm pretty sure they're legal.

Thanks for all the tips.

With food: Some sites I've read recommend dog kibble over cat on account of fibre and vitamin A levels being more suitable in dog kibble, but cat kibble being a more suitable size. Should they be fed kibble with grain (brands like Acana and Blue Buffalo, not cheap crap), or grain-free?

Insects: Can I just go out to the yard and catch some to give to the critter, or is it best to go with ones from the pet store and avoid giving wild ones?

Dig Box: Dirt or sand or a combination of the two?

Should they have just one hide in the enclosure, or a couple?

insectivores?

I said cat kibble (grain free) because the diet will need supplements anyways, so if you breed some worms and feed them high fiber and high vitamin A content mixtures, you're hedgie will get what's necessary. Definetly store or bred insects.
Dig box: sand is an irritant, and dirt can be risky, so mixture would probably be best. Worms are perfect in dig boxes.

One solid hide, like a shoe box stuffed with shredded newspaper, and several 'escape' hides for when it gets startled.