This is an Alebrije, a copal wood sculpture made in Oaxaca, Mexico. It is painted with bright colors and it usually represents a mix of different beings, like animals. In this case this is a type of hedgehog.
You can visit the Market of la Ciudadela in Mexico City and find lots of different beautiful crafts from different states but if you can visit the specific town where they made each craft is more valuable because you can see how the community makes them.
In the case of Alebrijes you can visit San Martin Tilcajete located in the state of Oaxaca.