Updated: Oct 7, 2018
Hedgehogs will genrally try to run away from people or if shocked will curl up in to a spikey ball. They have sharp needles all over their backs which can penetrate the skin. It will often itch if a needle does and may cause a rash. I've personally never had a rash when the needles penetrate my skin but the area of skin will usually itches for a while.
I've read that it is possible that bacteria can be present on the spines which when penetrated in to human skin can cause a fever or stomach pain but personally never experienced this and handled hundreds of hedgehogs. However, you should try to use gloves when handling a hedgehog for your own health and safety.
Hedgehogs can bite you, but very rarely will that happen. This usually happens when they are young and think your fingures are going to feed them (if they have been fed via a syringe as they had no mother). The youngsters can't really bite too hard and when I've been bitten it's more like a little clamp around your fingure than fangs digging in to your skin.
The adult hedgehogs have a more powerful bits and have two small rabbit like front teeth that when bitten will penetrate your skin. They tend to latch on to you for a bit and if bitten, you will have a bit of tug of war to remove them. They are strong enough to dig their teeth in to your flesh, however, they very rarely bite. I've only been bitten when I've woken up an adult hedgehog which was sleeping during the day. He was very unhappy with me and gave me a nice nip (see photo). Like any animal bites, if bitten you would need a tetanus jab should you not be up to date with that. You would also need to visit your GP or a hospital so they can clean and dress the wound properly.
Hedgehogs can make themselves seem nasty with defensive mechanisms including curling up in to a very spikey ball and pushing their needle spines out (much like the hair on your skin when you get cold). This makes them alot harder to handle and tells you they don't want to be bothered. They also pump out hissing noises when they don't want something to go near them and will push their bodies upwards as if they are about to run towards and ram you or whatever is close by. But if they do this and you get close to the hedgehog they will usually curl up and continue hissing at you. This is a distress and a way for a hedgehog to warn off other wildlife that may be dangerous to a hedgehog, it is an essential mechanism to protect themselves.
They can also make noises almost like a small dog but sound more like a grunt. The baby hoglets often make these noises to gain their mothers attention. Mothers protecting their hoglets will judder a sound like breathing in and out of their noses. I've noticed this when I had to clean out a pen and the mother is close to her hoglets (I try not to ever disturbe her when this happens). I feel it is a worrying sound from the mother and maybe a warning to the hoglets that something is close to them.
As hedgehogs are wild creatures they carry lots of things which humans may catch. Probably the most dangerous things are ticks. Ticks are very obvious to see and generally don't move very fast. They are often on hedgehogs brought in to us that are in poor health. Ticks feed off the blood of hedgehogs along with most other animals such as dogs. If a tick manages to latch on to a human there is a chance of getting some horrid bacteria. You need to be very cautious of ticks as they can carry lyme disease which is a bacteria spead by ticks. As ticks can be found on alot of animals you would probably have seen one before and not known it was a tick.
Hedgehogs also carry worms, lungworm, and ringworm. But so long as you wash your hands after handling a hedhgehog you should be fine. Just don't stick your fingures in your mouth straight after moving a hedgehog off the road! Ringworm leaves a round circle of red rash on your skin which is itchy, if you see this you will need to go to your GP for medication.
Finally, hedgehogs carry mites and flees which generally don't cause any issues to humans as they don't tend to jump from hedgehogs to humans.