As In A Pickle says.. never feed them bread or milk. Dog food is good or cat food (as long as it's the non-fishy variety). And a shallow saucer of fresh water is appreciated as they drink a fair bit.
I doubt they'd make good pets for all the reasons already mentioned as they usually have a 'round' that covers as many 11 gardens. It would be immensely cruel to confine one to a hutch or even to one garden.
But that's not to say you can't buy a hedgehog house for them to live in as a base. There are many types of house available and these days gardens are far too neat and tidy to supply any natural hidey holes for them to live in. Piles of old unmoved logs, unmowed 'wild' areas and compost heaps are all ideal but are rare in these days of patios, decking and water-features.