A few things to get you started:
1. Human hair vs. synthetic:
Human hair wigs are the most versatile (can take any hair style, can take heat, can be colored/ permed) and the most expensive (seem to be about 3 times the price for the same quality) and require the most care (same care as your own hair would require - shampoo and conditioner every other day for example). They also last longer when cared for properly, so for many who wear wig daily the cost works to be about the same over time.
Synthetic fiber wigs are easier to care for (every 1 to 3 weeks, needs a 5 minute cold soak with a little swishing in wig shampoo, then quick rinse and drip dry on a wig stand (open air kind) and to style (they retain whatever style they were given at the factory; when you clean and dry them they pop right back. Don't last as long, and cost considerably less.
2. Monofilament / hand tied / lace front:
Better wigs will often have these features.
Monofilament: means single strands are knotted to the cap; makes for a more realistic look.
Hand tied: the knots of some or all of the strands are put there by hand. More expensive, often more durable, better look.
Lace front: in the crucial area at the front of the wig, the knots have been put into a tight weave lace mesh. When executed well, this style allows hair styles that have a part in the middle or to one side. Also some lace front wigs can be trimmed, and glued to the head, to allow hair styles that comb back from the front instead of bangs etc. The lace can extend to entire crown or entire cap area but that is more expensive.
3. cap size. 3 percent of wigs are small cap size, 1 percent are large cap size, 2 percent are regular/large cap size, and 94 percent of wigs are regular cap size. In countries with smaller average head size (ex: China, SE Asia) the regular will run smaller. It only makes at most an inch of difference, but I have to go with the large because I wear a very large hat size. Caps do stretch, you want one that will stay on snugly. If it is too small, it could ride up as you move around.
I think I got all that right.
Most important considerations in my opinion:
- hair color that works with your skin tone, undertones, and natural hair color. You need to ask yourself the same questions you would if you had a full head of hair and were going to get a dye job.
- hair style that works with your head shape / accentuates your best features / distracts from your problem areas. This means both with length and "cut" and whatever curl / wave / style with which it is set.
- feels natural to you
When I went full time, I blew away the women I work with who expected a huge drag-queen glorious head of long hair and curls, in blonde or brunette. Instead, I came in with a mixed red that fits with my scots irish ancestry and freckles; a short pixie cut to just below the ears that works with my head shape which is squarish oval, and a sassy light wave that fits my personality. They were like, "I had no idea. I love it. It is... you." Which is what I was after, not "oh my garsh, it's Angelina Jolie/ Halle Berry / Julia Roberts etc etc"
For a first wig I would recommend a synthetic, monofilament wig if you can afford it, a hair color that fits your skin tone and natural hair color range, and go with a hair style that the sister who most looks like you might wear to work.
But that's for passing and experiencing what it feels like to be perceived as female. If you don't care about passing and want to let your inner queen out to play, then of course a bolder statement might be for you.