Great topic! I want to go with my own hair (which has grown back more than a little, due to minoxidil, HRT, etc, and is still growing back after some degree of MPB), for various reasons, some of which I shall get to momentarily. However, what's wrong with this desire is that my own hair might not ever be thick enough on top to be suitable in any case—and long hair just has so much appeal.
The problem with wigs (for me anyway), aside from the obvious egocentric reasons, is the desire/need to wear one most of the time. I would need something comfortable and well-fitting enough to exercise in, and so forth: something nearly as practical and adaptable as one's real hair; and at least presently I can NOT afford expensive wigs.
So for me it is currently much an open question. I too am quite interested in everyone else's replies.