When it comes to the litter box, the primary concern is that you do NOT use a
clumping type litter.  Clumping litter can stick to your hedgehog when s/he
uses the litter box, forming almost a layer of cement, which can quickly
prevent urination.

Almost any brand of non-clumping cat litter is relatively safe. A clay based
litter may be preferable, as most hedgehogs like to dig in it, as they would
in soft soil or sand. Here again, you should ask the expert (your hedgehog)
for his/her preference.

It is possible, however, for even non-clumping litter to become caked on, so
you should check your hedgehog frequently.

    I have seen clay litter clump on one of our hedgehogs.  I let her
    walk around in the tub full of shallow water until it is softened
    enough to remove gently.  
    -- Mike McGary

Male hedgehogs can also get pieces of almost any kind of litter and bedding
(especially clay and corncob) caught in their penile sheath.  You should
check hedgehogs of both sexes daily (or nightly, as the case may be) to
ensure that there aren't any such problems.

As with bedding, there is a need that the litter you use not be too dusty.

Hedgehogs also like to dig and root in sand, and will often end up using
their litter boxes for this, instead of for the intended purpose.  If yours
does this, you might want to try offering a sandbox [5.8] as a play area.

Here's yet another option that sounds like it might be cost effective, and 
should work well as both litter and bedding (my hedgies still want to know 
what the difference is, sigh!).

    I use firewood pellets for litter, for the hedgehog, ferrets, and cats, 
    it's non toxic (aside from pine oil..) cheap, and easily available in 
    most of the US. I got the idea from a cattery that breeds bengals and 
    savannah (or serengeti.. they keep changing names..) cats Petsmart uses 
    it for cats, birds, and small animals but they generally charge 6 dollars
    for a 2-3 pound bag... if you go to your local fireplace center or ranch
    and home supply, you can get a 50 pound bag for about 4 dollars!  It 
    doesn't clump or stick to the hedgehog, and when they urinate on it, it 
    fluffs up and absorbs all of it. The ONLY draw back is that it doesn't 
    absorb odor too well; our cat was sneaking ferret food and was starting 
    to get very plump and his feces smelled RANK (which is why I'm also 
    against feeding hedgies ferret food) so we had to switch off of that for 
    a while till we found out why it was so stinky.
    -- Zack Lessley

I can relate to the food theft - my cats sit on top of the hedgehog cage
waiting to pounce on the odd piece of food I lose when feeding them.  Taste
is irrelevant.  They aren't supposed to have it so it MUST be good.  One day
they will get into the cage, and learn, yet again, that ``ones with fur should
not triffle with the ones with quills if one wants one's nose and fur intact.''