Hi Kati,
Check out information first on what types of wigs there are (Wiki may help). There are monofiliment, human hair, lace front. I would avoid human hair unless you know how to care for hair. They need to be restyled after washing and 'newbies' may find that difficult. I get mine restyled in a wig shop so may be out of range for you. Lace front means you do not have a fringe. I believe monofilament is about the starting level you should seek. It means that the partings and front area look natural. They tend to sit better on the head. Since the require hand tying of fiber they can be expensive. I'll talk price later.
Style. Your hair needs to fit your face. GGs practice for ages for the look. This is the hardest part of buying wigs away from a wig shop. Getting a style and colour that suits you takes time. Even colour is amazing. Lighter colours tend to take years off, darker make you leek older. Hair length is important. My first time in a wig shop they put on a long blonde and then a long black wig. Every girl wants long hair, she said, it's not until you see how bad you look that you decide against it. True in my case. That saved $1000.
The wig, your hair, needs to fit into your lifestyle and your feelings.
Price. Be alarmed, very alarmed. In Australia I wear a particular wig, it is $350 each. I have three. In trial and error and fitting and life I like my look. Human hair for the same wig is about the same but more difficult to 'keep'.
I use
www.celebritywigs.com.au They have some nice information on their web site.
Oh BTW, wig companies would close without the TG and CD market, save your money and use the 'non-sex site' companies. That is also why the shops don't have a problem. I think the last time I got a wig there wasn't a GG in the place, including the staff

Cindy