I think quail (Coturnix, specifically) make excellent pets. Mine each have their own personalities and preferences for food, play, and resting spots. Most of them are tame enough to hold calmly, and they've learned to approach me for treats when they see something in my hands. Some are more vocal than others, with the males being the loudest in spring and summer.
Lots of good guides online about hatching and caring for chicks (just make sure you're looking at ones specific to your species of bird!). Quail should not be allowed to free-range (although some people have pulled it off), because they typically won't come back to their coop once you let them out. There are different ways of keeping them (on the ground in flight cages, in raised pens, etc.), and there are some good threads on BYC about how people keep theirs. For space, 1 square foot per bird is the usual minimum.
You only need to keep males if you intend to hatch more; hens can get along perfectly fine without the boys, and they'll still lay eggs. I've seen some people raising quail and chickens side-by-side successfully, but it's a big risk. Quail are susceptible to chicken diseases, and in a fight between a quail and a chicken, it's no contest who the winner will be.
