As a member of the MPB club since the age of...forever, I feel your pain
THe real question is not where, but which. There is very little to absolutely zero info on comparing wig A to B, such as what sort of fiber is used etc. I've been ... disapointed, purchasing a big name brand wig to find it turns into a tangled up mess of knots by looking at it. And then there are the others.
As far as brands, Tony of Beverly and Jon Reneu(sp) mentioned above seem to use decent fibers. Of course you tend to get what you pay for. Cheap is... cheap. Expensive, tends to be better. There are reasons why wigs with similar lengths, coloring, and styles can cost $100 or more.
As to where... If you can do it, a wig shop is best. Otherwise stick to a recommended name brand. Coloring is best close to your natural color. Get a color ring and or color guarantee for a (almost) free do-over.