IMO, I think Yesterday's News (http://www.yesterdaysnews.com/) is the best. They clay stuff may have dust that can irritate your hedgie's eyes/nose. It may also get stuck to sensitive areas.
The yesterday's news isn't very dusty (it's not dusty at all until you get to the bottom of the bag, and even then it's nothing you can see when you're pouring it into the box). On top of this, it's pretty absorbent.
Some people have issues with hedgie's trying to eat the pieces. That being said, one of my guys when he was little tried eating it, and I took out the litter box for a few months until he was bigger and now we don't have a problem. My other two guys have no interest in eating it. So it's a bit dependent on you hedgie. Also, the pieces have a coating on them that make it next to impossible for the hedgies to actually bite down into. And the pieces are big, so unless you have a hedgie that is fearless about choking, I wouldn't be too worried. Also, as soon as they get the hang of the whole litter box idea, they're not going to want to eat where they urinate/poop.
I definitely wouldn't get the pearls though-- If you didn't open the bag, you could probably return it/send it back. The pearls sound like they're a huge choking hazard. Whatever litter you use, make sure you keep an eye on him/her for a little while to make sure they're not eating it or laying in it after they use it (in case it gets stuck to their sensitive areas).