It is going to sound like I'm opposing hedgehogs. I tend to point out the negatives, because then you have good expectations of what life can be like with a hedgehog.
Hedgehog personalities vary widely, you can get one that is overly friendly, and seems to enjoy being out with you, but you can also get one who is just defensive and keeps their quills raised all of the time and tries to spike you every time you try to pick them up.
A hedgehog is nocturnal and typically sleeps all day and in general has a personality of I could do without you. Play with them is more of you watching them or allowing them to sleep on you.
Housing for hedgehogs can be problematic. Temperatures must be held in safe levels else risk hibernation attempts which can lead to other health issues and diet can also be challenging as some easily become obese and hedgehogs can be very resistant to diet changes.
Hedgehogs are mostly healthy, but when they do have a health issue it can be challenging to find a knowledgeable vet to treat them, and the cost is often much higher than a dog or cat. Around here, office visits for exotics is nearly double that of a dog or cat. Hedgehogs live short lives, and cancer is extremely common with the only real treatment being surgery which expect at least a $500 bill to remove it.
You will need to really to consider what you want out of a pet. If having something that will want to be with you all of the time when you are awake, wants to play and interact with you and that you can take places with you. Go for walks with, etc. seems appealing. Get a dog.
Make a list of pros and cons of each animal. Make sure you add in cons and carefully consider them. Hedgehogs can make great pets, but they can also be awful pets for some. Same goes with dogs. We have seen many hedgehog go through here who couldn't deal with the downsides of these creatures, or quickly became bored with them, because they just were not a good fit and ultimately the person wanted something whose care and interaction with were more in line with a dog, cat or even a rat.