One of the questions frequently asked by potential first time hedgehog owners is "Do boys or girls make better pets?" The answer to this is really quite easy... neither!
The differences between the sexes are minor, and don't really affect the pet potential of the animal. Sex does not seem to affect individual animal personality, cage cleanliness, ability to bond to the owner, activity levels, or any other aspect of behavior.
What it DOES affect is some of the health conditions that you may have to face. Female hedgehogs are somewhat prone to uterine conditions such as cancers. There seems to be some evidence that females who are bred during their lifetime do not have as high of a risk of uterine cancers, however, I do not recommend breeding as cancer preventative due to the possible problems that breeding can bring, including death of the mother. There are individuals who encourage preventative spaying, but I don't think this is a good answer either, usually. IF you have a highly qualified vet who is very experienced in the special surgical needs of hedgehogs, and is familiar with doing spays on very small animals, it cuts the risks, but the spay procedure on hedgehogs is not a common enough procedure that the risks have been minimized, and I feel that doing an unnecessary surgery is as dangerous as the cancer risk. If you do have a female hedgehog, the best thing to do is watch her bedding carefully for any signs of blood, especially around the two year old mark. If you see blood in the bedding that cannot be explained by injury, then it is a good thing to have your female hedgehog tested for urinary or uterine infections, and if it reoccurs even after treatment with antibiotics, THEN a spay is usually recommended.
Male hedgehogs biggest health risk that does not seem to affect females is urinary tract issues. Males seem to occasionally have issues with kidney stones getting lodged in the urinary tract, or with blockages or infections in the penile sheath. The best way to watch for these issues is to check the external sheath opening daily for signs of debris, swelling, bleeding, or discoloration. If any of these signs are seen, get your hedgehog to the vet as soon as possible for an exam. HOWEVER- the exception to the debris rule is caused by the male hedgehog's tendency to pleasure himself. Some males rarely or never do this, others do it frequently, which leaves them with a sticky whitish discharge usually in the fur of the belly. This is normal, and can be removed with a bit of olive oil and a good bath.
The decision between male and female as a single pet is a purely individual preference. Either sex can be a great pet with proper care to the health issues involved.