Really depends on the hedgie. Satin loved her dump truck. Texie loved hedgiebags and a tube big enough to walk through. Bella loves hats.
With a new hedgie, I'd probaby go for a little bit of everything on the sorta cheap (but still hedgie-safe). Then, once they've declared their preferences, go crazy with it.
In addition to the above, I'd try little stuffed animals, a dig box (a container like a kleenex box with fleece pieces), toilet tissue tube (but only when you're there to pull it back off when it gets stuck).