Hedgies don't see very well anyway, so they're naturally a bit nervous. It's like someone walking up behind you when you have no idea they're back there and tapping you on the shoulder. Odds are it's going to make you jump. It actually sounds like he/she's a pretty outgoing hedgie if it just jumps and doesn't totally ball up and start hissing when startled. If you're considering getting that hedgie, the little guy/gal might be an outgoing friendly pet. You'll definitely want to find out the gender, though, especially since it's a pet store hedgie and you won't know the history for sure. Is there more than one hedgie in the same cage or are they separate? Males have a "belly button" high on their tummies, and females have a belly button also but it's low, down near the tail. If it's a female hedgie, you have to be careful because she could be pregnant if they were all housed together. If it's a male, you don't have to worry about that.
I would recommend doing as much research as you can first. This forum is full of wonderful information, so read as much as you can and ask any questions you come up with.
