Liners:

These can be as simple as a piece of fleece cut to cage size, or as fancy as two pieces of corduroy sewn together with a piece of fleece in between them.   Here is a way to make durable liners (a PDF file from the HWS website, pages 20-21).  

TIP: If you don't want to sew but still want liners, The Hedgie Den makes beautiful, custom, hedgie-safe liners with close attention to details.  I have ordered from there before and came away happy.  Highly recommended!

 
Pros: 

• These are reusable; you just pick off any food pieces and whatnot that you don't want in the washer, then toss them in.
• They last a long time and you don't have to buy new ones each month.
• Are not dusty so will not irritate allergies or give hedgehog respiratory problems.

Cons:

• You ideally need 4-6 of these to change the liner every 2-3 days, else you'll have to do only 1-2 liners in the wash. 
• People often complain that these smell more than wood chips (change them every 2-3 days and spot clean between changing, and there shouldn't be a problem).
  TIP:  You can put vinegar in the water to help neutralize any smells (or put it in during the rinse cycle).  I find that running warm water as a soak and adding vinegar to that, then letting it sit for awhile before actually washing neutralizes even the most horrible odor.
• This also will cost water on your bill every month if you're charged for water used.

Wood chips/shavings:

Use only Aspen or KILN DRIED pine; AVOID cedar and natural pine because of phenol which can be toxic to your hedgie, and sawdust which can cause respiratory problems.

Pros:

• Wood chips have good odor absorption.
• Can be spot scooped, so don't have to worry about dirty cage.

Cons:

• These can harbor mites, so you run a risk of your hedgehog getting mites with each new bag. 
• Males can sometimes get slivers of it stuck in penile sheaths.
• You have to buy these every time you run out; not reusable.
• You have more waste to get rid of each month.
• Often are dusty and can cause respiratory problems.

These are the two most commonly used choices. Between the possible mites and the splinters, I personally don't believe that wood chips are a great choice and should only be used for breeding purposes--not in an everyday setting. To me, liners are the best way to go, and are what I personally use with my hedgie.

For litter pans:

Folded paper towels are a great option to put in the litter pan.

Yesterday's News is also an okay option, but must be monitored for ingestion. (Described more below.)

Newspaper:

Newspapers printed only with natural non-toxic inks are the only ones that should be used (check with your newspaper's printer). Can be flat sheets or shredded, but should really only be used as a last option.

Pros:

• Easily available.
• Easily changed.

Cons:

• Limited absorption quality that makes it cold and messy; uncomfortable for hedgehog if not changed.
• Must be changed daily (probably 2-3 times daily, actually).
• If you are not awake when hedgehog is at night, the bedding will be cold and wet all night after playtime.
• Can cause ink streaks on the hedgehog's fur/quills.

Recycled paper:

Carefresh and Yesterday's News are this. Other brands range from small granules to fluffy material. The fluffy stuff would be the only acceptable type of this, because otherwise pieces would be getting stuck in uncomfortable places for hedgie.  Should only be used for litter pans, NOT for full bedding.

Pros:

• Absorbent.

Cons:

• You have to check this carefully for foreign objects like staples and plastic (especially with Yesterday's News).
• You also have to monitor carefully, because there is the possibility of internal blockage if it's eaten which can be fatal.

I would not recommend use of either of these.  The fact that newspaper will change hedgehogs colors and make them uncomfortable when pee puddles up on it isn't worth it to me. When I tried recycled paper, Quentin just made a mess of the cage with it; paper towel works better. They could be used for a short period of time if necessary, but there are better options.

Corn Cob Litter:

These are small and can get stuck in the genitals, which can cause serious infections. I've seen a few sites that recommend a few inches of corn cob litter as bedding, but this is not a good idea. It also should not be used in litter pans.

Clay Litter:

Clay litter should only be used in litter pans NOT AS A FULL BEDDING, and even then it should only be non-clumping, unscented, and dust free. The pieces should also not be tiny (like the corn cob litter).  Also, avoid crystals.

Soil/Sand:

A lot of people ask about soil, either for a play area or as a bedding. This is not a good material to use, as soil harbors all kinds of bacteria and can start molding after awhile. Sand also wouldn't be all that great because of getting stuck in sensitive areas.

When it comes to bedding, you want something that is not dusty because that will cause respiratory issues down the road.

Anytime you're considering a bedding, consider: Can be easily ingested--will it cause a blockage if so?  Is it small enough to get stuck in genitle areas?

What was the hedgehog on before?  If the hedgie is used to kiln dried pine and you switch to aspen or to a different brand of the pine, it could cause sneezing and allergy problems.