Imo wigs are only good if they are super realistic. The super-realistic ones tend to be very expensive, unfortunately.
As for clip-on extensions, it depends on the length of your hair. If your hair is super short it will not blend properly with the extensions.
As for weaves, the advantage they have over clip-ons is that as long as your hair is long enough to cornrow, you can get it sewn on, and you won't have to worry about it looking strange with the length of your real hair since your real hair is bound up in cornrows. One very big disadvantage to them (that I learned the hard way) is traction alopecia. My hair is really thin now because I shed so much after I got my weave taken out. If you see a professional and have a weave for only a few months at the most, your hair should be fine, but if the cornrows are too tight there's a pretty good chance you could suffer from traction alopecia. Oh, I should also mention that getting your hair cornrowed is EXTREMELY painful, especially for me since I already had thin hair and as a result there was a lot more pressure exerted on my scalp.
Frankly I think the best thing to do is to get a short feminine cut and just grow it out. Eventually your hair will be long enough so that you can wear clip on extensions without the top layer being too short.