Legal:
First off, let me stress that in most countries it is illegal to keep a wild hedgehogs as a pet, and many are considered to be endangered species. The wild variety are not tamed either, and you shouldn't attempt to pet or approach one. Many people do have hedgehogs as pets though - these are specially bred species called African Pygmy hedgehogs, are actually a genetic blend of many different smaller hedgehogs than the typical wild variety. From a young age they are handled so as to be tame.
Size:
Typical pet hedgehogs of the African Pygmy variety are around 20cm in length. When relaxed, the "quills" or spines of the hedgehogs are quite safe to touch, and will only erect if the hedgehog feels it is in danger somehow.
Choosing Your Pet:
When you go to choose your potential hedgehog, take time to carefully handle it and ensure it is tame. You may also feel a certain connection with one. Make sure the nose and eyes are clear of disease or blockage, and that it isn't overly obese or skinny.
First Steps:
When you get it home (use a cardboard box for transport with a towel at the bottom for comfort), make sure you have a cage or larger box for a few days until it is comfortable with the new environment.
After a few days to acclimatize itself, you should be able to pick it up. Don;t be discouraged if it rolls defensively into a ball at first, it may take a while longer until it is used to you personally. If you continue to hold it, it will naturally sense there is no danger and will relax before exploring your hands, and you.
Ideally you will have a cage to keep the animal in, at least a rabbit hut size. It will need a small nesting box to hide in, and a litter box that is kept away from the food and water.
Food:
Hedgehogs are known as "insectivores" which means, you guessed it - they like to eat insects. You should feed a balanced diet of various insects, pet food that is clearly marked as for hedgehogs, and small amounts of fruit. Your local pet store should be able to help you out with all these.