Well ask the breeder/store or where ever you are getting him/her from what she/he gives the hedgie. Unless its junk food, keep feeding the same food.
Don't buy Hedgehog food, they don't have the same protein as cat foods. I am on a yahoo group and they feed the hedgies purina one cat food.
if you look under foods i believe someone posted the right food.
you can also feed the hedgie snacks such most fruits and veggies (stay far away from avocados, grapes, raisins, and nuts). They have a nack for bananas. You can also feed them potatos (both white and yellow, although they do get messy with these when they annoint).
Snacks should be given in moderation but feed the hedgehog it's food once or twice a day. Dont' give him free range of food unless he's baby and needs protein and such.
You'll need to get a small supply of the food from the breeder or whoever, and keep the hedgehog on it for at least the first 2 weeks, unless it's one of the crap foods that are horrible to feed.
After 2 weeks, if the food isn't the best one, or if you want to find a food that's easier for you to buy, you can start to switch it. This has to be done slowly, to avoid stomach upset. You can find a list of good cat foods here - viewtopic.php?f=6&t=15 You want to have a mix of at least 2-3 foods, to make sure the hedgehog is getting everything he/she needs. Most people prefer to free-feed, as hedgehogs don't tend to overeat, and it's hard to know the proper amount an individual hedgehog needs. If you limit food, you could accidentally end up starving the hedgehog.
As hedgehogs4ever said, you can give other foods, fruits and veggies as treats. These shouldn't be given for the first several weeks, though, until the hedgehog has settled into their new home. You can search the nutrition section for "fruit and veggie" and find a list of good fruits and veggies that you can feed. Mealworms and crickets are also good treats. Just keep in mind to limit mealies (unless your hedgehog is a skinny runner type), as they're a bit fatty.
Mine is on Wellness Indoor, and Purina One Chicken and Rice (the food he was being fed when I got him). I didn't have success with a few others so I am trying Natural Balance Green Pea and Duck for my next cat food. When I get a few more that he likes Im going to attempt to weed out the Purina One or if he's gonna be mad about it just let it be in the mix in small portions. Each time you try a new food you have to do slowly and then monitor afterwards to see if there is any issues. For me this has been hard because it would be easier to just go out and get three to four good ones but I have to make sure each one is going to be good for him with no side effects or upset stomach so it takes awhile to get everything into the mix.
I feed Lily Wellness Indoor, Solid Gold, and Natural Balance Green Pea and Duck. I'd definitely recommend the Natural Balance if you can find it, it's been very popular with most hedgehogs it's offered to, and with duck being the main meat, offers a different protein source than the usual chicken or turkey, etc.