I just read the article that was posted, but I feel I should clear up a few discrepancies. I have been breeding and rescuing hedgehogs for over five years and I have always tried to educate people along the way. I don't want to offend anyone, but if you want to flame me please do so privately...
1. The hedgehogs that are available in the North American pet trade are actually both from Africa. The white bellied hedgehogs and the Algerian hedgehog were both imported here, and have since been bred to each other. As a result, the common name for these pet animals are African hedgehogs or African pygmy hedgehogs. The larger European species is actually protected and the are not kept as pets.
2. Although hedgehogs will readily eat most insects, they should not necessarily be fed them. They could have been exposed to many toxins.
3. Most hedgehog owners will agree that their pets are not completely nocturnal. Mine seem to be awake at dawn, noon, dusk and midnight-2am.
4. Not all hedgehogs are timid and nervous. While it is true that hedgehogs have not been domesticated as long as other pets, they do respond well to socialization if done properly.
5. I do not recommend leave a pan a pan of shallow water in the enclosure for swimming. Bathing/ Swimming should be supervised.
6. Wire rodent wheels can be modified with a number of materials to make a solid running surface. Some things to try: plastic place-mat, craft foam, fine screen/ mesh etc.
7. Cedar should never be used, but kiln-dried pine or aspen is suitable.
8. I have had two dogs (shepherd/labs mixes) and two cats (one stray alley cat) and guinea pigs almost as long I have had had my hedgehogs with no incidents. In fact they are all afraid of them. Obviously use your common sense- provide safe habitats and supervise floor time etc.
There are a lot of highly informative sites out there from fanciers and breeders. Here are some GREAT links :-)
Hedgehog Associations/ Organizations
And if you have any questions, please feel free to ask me. If I don't the answer, I'll find someone that does!