Because of the way my hair thins out across my temples (I have a very pronounced M-shape to my hair line) I can't do anything satisfying with my hair other than wear it long and straight and parted in/near the center, so I've been considering/preparing to shave it all off and go back to wearing the beautiful gorgeous wigs I wore when I first came out. I'm actually sort of looking forward to it, except for the cost: I've never had more beautiful hair than I did when I was wearing a wig, it's just very expensive to buy wigs enough to keep up with the wear and tear of all-day wear.
As a result, I have much of the same concerns that you do: I'm thinking that soon I will spend some real money and pay for a 500 dollar full-lace human hair wig from RPGShow. It's sort of my answer to most of the problems you mentioned: a full lace wig can be combination taped/glued to the head and will remain secure for 1-2 weeks at a time. You can swim with it, you can exercise with it, you can tie it up in a high ponytail, you can part it wherever, you can sleep with it (although it's recommended that you invest in a set of satin pillow cases and maybe sheets to reduce hair friction), and best of all, you can have sex with it on. If it gets tangly, stringy, or sweat-matted you can stand in the shower and very very gently pour some wig-shampoo/water mixture and wig-conditioner-water mixture over it, work them through (individual), and then very gently rinse. Don't try to style or brush the wig until it is mostly dry, however, or you will loosen hairs. There are videos on youtube that can help you with this (I can send you a link to one lady who has allopecia and who looks absolutely gorgeous in her long, 28 inch wigs (too long for me, but so lovely!)).
If you're not ready to invest 500-700 dollars in a wig yet, and are still working on finding something that works for you, I find that ordering a bunch of one style (or multiple if you'd like to have similarly colored but differently styled wigs for when you go out dancing as opposed to working, or something to sleep/have sex in) is the best bet. 3 is probably a good number to start with: one to wear on a given day, an alternate to wear the next day while the first one dries from a brief rinsing, and one to sleep in. If you're going to exercise, you could (a) gently swirl the wig in some clean or wig-shampooy water when you get home every night before bed, or you could buy a baseball-hat/ponytail attachment wig to work out in and then switch back to your regular wig afterwards...
Actually, I have some questions for all of you as well:
Does anyone else here feel like wigs come in a standard size that is just SLIGHTLY too tight for your head? Like the wig slips back from the forehead, maybe, or doesn't fit quite right? I've tried measuring my head and come up with measurements that range from just within the right size for the standard wig to just slightly (an inch or so) over. I'm not sure how to handle this. Can they be stretched slightly? None of the larger wigs seem to come in very attractive, youthful styles.