You need something that looks natural. Real hair wigs do but are very expensive, microfibre wigs can look very natural and are cheaper. Find a nice style that isn't going to be high maintenance (you can't style synthetics the same way and curls/waves will come out). Chose a good colour that matches your skin tone, and as Mariah says a style that suits your face. It needs to be comfortable enough and allow your scalp to breath so you don't get sweaty. Keep it well maintained, brushed, washed and conditioned.