When a hedgehog is calm, the quills are in a relaxed position, and the hedgehog and be held without worrying about he sharp quills. The quills tend to lay down along the back and sides, all pointing towards the back, so as long as you don't push against the sharp tips of the quills they pose no problems (don't pet a hedgehog the wrong way!).
A scared or angry hedgehog is another story, since the quills are raised and tend to point in all directions; trying to handle a hedgehog in this defensive posture is sure to be a prickly experience.
How much a hedgehog enjoys being held or cuddled is a completely different question, and depends personality of the individual hedgehog. Some hedgehogs do seem to like to snuggle up to their human companions, while others might be more shy or simply prefer exploring and moving about than cuddling. My hedgehog was tolerant of being held but preferred snuffling around and exploring (or finding a quiet corner of the couch for a nap) over being held. It is hard to predict the personality of an individual, though it is safe to say that with patience, almost any hedgehog can be held.
More About Handling Hedgehogs
Tips about handling and picking up hedgehogs can be found in How to Handle a Hedgehog
More About Hedgehog Quills
Hedgehog bellies are covered with soft fur, but over their sides and backs are covered with quills. According to Hedgehog Central, a hedgehog is covered by approximately 7000 quills, so that makes them pretty spiky! These quills are sharp (though unlike a porcupine's quills, they are not barbed) and are controlled by a series of muscles, so when a hedgehog feels threatened the quills are raised. Often the hedgehog will roll into a ball as well to protect their undersides, so all that is presented is a ball covered in quills, which makes an effective defense system. Even in this state you can touch a hedgehog without too much damage (in 5 years of hedgehog ownership I was never poked enough to break the skin). However, try to avoid avoid getting your fingers trapped by a hedgehog rolling into a ball -- they are strong and being squeezed and poked at the same time is sure to be painful!
Hedgehog Central has a page about quills with some neat photos.