I have heard many people report that the type of cage they use for their hedgehog is nothing more than a large plastic container. This is actually the type of housing I am currently using and have used for the last four years. The plastic container is a keep/storage box and is relatively cheap and easy to set up.
56 quart or larger storage box.
Utility knife or soldering iron.
My cages are set up with the water bottle on the outside of the cage, so that the hedgehog cannot knock it over, and also cannot crawl up the water bottle to escape. To do this you will need to cut a hole in the side of the box. This can be accomplished with either the soldering iron, or the utility knife. (Note: Heating the plastic with a hair dryer can make cutting holes with the knife easier, and you are at less of a risk at cracking the plastic). Also make sure the hole is not too high that the hedgehog cannot reach the bottle, but also not too low that they have to lay down to get a drink.
Many people also place a cover across the top so that they cannot climb out as well. You can use coated wire, hardware cloth, or any other form of netting. To attach the covering, holes can be melted around the top of the box.
This type of cage is easy to build, easy to clean and very inexpensive to create. They are also expandable. Click here for an example.