I often approach this question with questions, so here it goes:
What type of personality does your hedgehog have? Does it like to run? Burrow? Explore? Hide? etc. Your success with toys will depend on the personality of your hedgehog.
Some like balls to push around, others like to bite them and carry them. I use tubes and other items to explore through or under for those that don't like to burrow or have a exploring personality.
Small stuffed animals can be fun for some, very few are likely to chew on them, they usually get pushed, carried or treated like a companion.
Some like plastic cars or truck, again those that use them will usually push them, climb on them, or other wise shove them around.
There really isn't any hard set rules of what a hedgehog likes or dislikes, it is all a guessing game. If you want to try a few things without spending a lot of money just to find out your hedgehog won't touch it, try some "recycled toys" http://www.mihog.org/cages/recycle.phtml
The above link is to an article I wrote for the IHA News a long time ago. It has some items that are suitable for cage use and some that are suitable only for supervised play.
The most important thing to remember when offering something as a toy is to examine it for loose parts, sharp edges, and anything that a mouth could get stuck in if a hedgehog should try to bite it to carry it around. There was an incident recently of a hedgehog getting its mouth caught on a cat ball that had slots, it did a lot of damage to the poor hedgehog's mouth.