Hedgehogs are insect eaters in the wild, and they enjoy nibbling on a bug or two in captivity as well. Meal worms are what I consider the best, and my hedgies seem to agree. You can purchase them at pet stores, or from a local breeder, if one is available. Crickets are another good treat, and while I've never used them personally, friends have told me that theirs loved them. I also feed mine houseflys whenever I swat one.
FYI: The most important difference between the food you buy at a Vet office, and the food you buy at a grocery store, is that the Vet food is 'quality controlled'. This means that the quality and type of protein (i.e. meat, chicken etc.) is the same from bag to bag.