luckies4me has a pair (or more) of rescued hedgies, she can probably tell you a LOT about them. I would recommend a hedgie over a chinchilla, because hedgies are much easier to take care of and easier to handle in my experience.

http://www.chins-n-quills.com/forums/ is a site for chinchilla and hedgehog owners, I'll bet there will be a TON of good info there.

I have to say that I strongly disagree with neeshkabeesh. A hedgehog's needs are easily met in captivity, and you should have no problem finding a captive-bred one. Also, if they are legal in your area, there are probably a good many vets with plenty of knowledge about caring for them