Someone posted a similar question on the following forum, so it may prove useful as far as information goes:
https://www.backyardchickens.com/t/984268/anyone-have-information-on-quails
I wouldn't recommend "letting them out" of any sort of pen or enclosure as they are liable to not return. Loose quail generally return to the areas of their pens in response to the calls of other captive quail, but there's certainly no guarantee.
As far as being docile verses flighty, it would depend a lot on the species. I'm inclined to say that most varieties of Coturnix quail (Pharaoh, A & M, Tuxedo, etc.) are generally more docile than "wild" species like Mearns. I consider "friendly" quail to be birds that don't necessarily have to like being handled, but will tolerate my presence and stay relatively calm when I walk past the pen.
Quail vary quite a bit in price. Day-old Coturnix chicks may run between $1-$5 each. I have seen adult Coturnix hens run as high as $6 each in my area of Wisconsin. As far as hatcheries go off the top of my head, Stromberg's Hatchery sells hatching eggs for different varieties of Coturnix. Purely Poultry sells hatching eggs and day-old chicks as well. I would recommend checking out different websites as the prices can flux over time.
Advantages of raising quail? Coturnix quail don't require a whole lot of space and won't eat as much as a chicken will. Some have rather simple personalities, but they are entertaining to watch. The hens will generally lay lots of small eggs but rarely set, so there's not much concern for the hens going broody. The A & M varieties (as well as the others) can become rather heavy and are purportedly good for eating depending on how you cook them.
Some of the advantages of certain species of quail, however, may be absent or lacking in other species. Bobwhite require rather large pens in order to prevent picking in groups. California and Gambel quail don't have as long of a laying season as other species. Some species tend to be rather flighty and may not tame down as adults. Depending on what you want the quail to be (pets, egg-layers, meat birds) will affect the species of quail you invest in.
Hope this helps!
