Because of my understanding with my wife, going to the wig store was not an option for me, so I did all my wig shopping online. I chose
Wigs.com in no small part because they supply a plastic head cover you can wear to try the wig on once and if it is not to your liking you can return it.
I was planning on buying a wig anyway, but I got lucky and ended up doing it in October, when they have their annual half price sale on Louis Ferre wigs.
I spent the better part of a week doing homework, researching colors by looking at color charts online and watching Youtube review videos (highly recommended), and ended up taking three or four pages of written notes on a yellow legal pad, before narrowing the choices down to three final wig models and three or so possible colors.
After spending a night sleeping on the final choices, I pulled the trigger. The first one I bought was a medium length wig with bangs, in something very close to (maybe a shade darker than) my natural mousy brown color.
I really liked that wig, but felt it was maybe a little too conservative a choice considering the way that I dress.
A few weeks later, just before the sale ended, I decided to get another wig, this one a lace front in strawberry blond, which is a color my hair tends to bleach toward if I get enough sun in the summer.
I love them both, and I will probably get a third one in a fiery red (I'm one quarter Irish, and I tend to gravitate towards reds).
All in all it was a pleasurable experience. My advice is:
1) spend some time analyzing the shape of your face, and think about what hair styles will look good on you.
2) If you go with your natural color, be prepared to look like your sister. That may be a good or bad thing, depends on how you feel about it. Think about what other colors would look good on you. Like I said, my hair naturally bleaches in the summer to a butterscotch or strawberry blond, so that is one look that I chose. With my skin tone, I think red would work pretty well also.
3) Most important, have fun. If you want to experiment, get come cheap wigs on Ebay, try several different looks, and then spend the big bucks on a really good one.