I did some research and, as it has already been mentioned, the Rheostat just adjusts how much heat your lamp puts out (like a dimmer) while a thermostat will turn the lamp on when the temp gets too low, and then turn it off when the temp gets too high.
I'm planning on buying the rest of my hedgie stuff next week and have a thermostat on my list since I will be using 2 heat emitters on each side of my cage. This way I can set it and forget it. After a LOT of searching online, I've found that ReptileSupply.com seems to have the best price if you are willing to buy online. Plus, if you find it cheaper somewhere else they will price-match.
They have a couple to choose from. The ReptiTemp 500R is $24.99 + shipping, and the 500 watts Zilla Temperature Controller is $28.99 + shipping. (I did see the Zilla one in my local Petco for around $50). I was thinking of getting the ReptiTemp one just because I haven't heard anything about the Zilla one and couldn't find any reviews for it online.
ReptiTemp 500: http://www.reptilesupply.com/product.php?products_id=75
Zilla Temp Controller: http://www.reptilesupply.com/product...oducts_id=2534