There are a number of different things that can be given to hedgehogs as
treats -- but all in moderation.  Among the things that hedgehogs tend to
like as treats are occasional small amounts of fresh fruit, and from personal
experience I can tell you that all of my hedgehogs, will kill for a mealworm
or a small taste of cream, and love raisins (but Velcro generally just chewed
on them rather than actually eating much).

Other ideas are crickets, hardboiled egg which is finely chopped, and cottage
cheese.  Mealworms are available from many pet stores and are also available
by mail order (at least in the U.S.) from companies like Rainbow Mealworms
[2.1], and GrubCo.

Here's a suggestion from Anja van der Werf for live food treats:

   You can ``enrich'' mealworms by feeding them fruit or a vitamin supplement 
   for a few days before you feed them to the hedgehogs.

You can also ``gut feed'' mealworms by feeding them for a few days on dry cat
or dog food before feeding them to your hedgehogs.

While small amounts of these are great as treats, beware that they should not
be given as the mainstay of the diet, nor too often, as they do not provide
all the necessary proteins and nutrients needed to keep your hedgehog
healthy.

It is also possible for a hedgehog to briefly suffer from diarrhea after
imbibing too much in these treats.  This is generally not harmful, but
indicates that too much of a good thing isn't.  If the condition persists,
consult a veterinarian.