Do you live in California? I noticed something in the tag. Hedgehogs are illegal to keep in California. If you don't live there, then you can buy a hedgehog at a pet store for about $100 that will probably have been poorly taken care of, you can get one from a breeder for $100-200, or you can adopt one of the hundreds of needy hedgehogs that need homes. Check out
http://www.hedgehogwelfare.com to see if they have some in your area. My hedgehog page at
http://www.fishpondinfo.com/hedgehog.htm lists a few breeders as well as links to sites that list breeders.
Also, hedgehogs are not rodents, they are insectivores like shrews, moles, and bats.