Liners
Pros - comfortable for your hedgehog, easy to change, cost effective, no loose pieces to be kicked into the water dish, easy to notice health problems, nice to look at are good for people with allergies to wood bedding.
Cons - Can smell if not changed regularly, washing inconvenience, hedgehogs can burrow underneath them and tip over dishes and accessories.
Wood Shavings
Pros - Allows a hedgehog to dig around in a loose substrate and may help minimize odour.
Cons - Messy, dusty, pieces can get caught in eyes, nose or genitals, can harbour mites, can have harmful phenols, food dumped out of the dish will fall to the bottom of the shavings and be wasted and make it harder to monitor what has been eaten, shavings can be kicked into the water dish. harder to observe health issues if you cannot easily see if your hedgehog is bleeding or relieving themselves regularly, more expensive than liners.
Pelleted Wood Bedding
Pros - Cleaner and healthier than shavings, very absorbent, similar in price to paper bedding.
Cons - More expensive than shavings, risk of blockage if ingested.
Paper Bedding i.e. Carefresh
Pros - Less harsh on the respiratory systme as shavings, allows digging.
Cons - Dusty, more expensive than shavings, food can still be waster and health concerns less easily observed just like shavings.