I don't wear wigs as my hair is quite long but, my wife does from time to time, and I would say my biggest caution is to be sure what you are buying. Many wigs that say Human Hair on the package are anything but. Some "Behave like human hair" and that is where they get why they title it that....
The problem with this is, that wigs are usually not in a package, but in a sort of showroom where it is hard to get any details, and many places will just write "human hair" on just about any wigs description, but you can judge the quality of the individual wig yourself, if it looks, feels, and wears good then there is nothing wrong with it no matter what it is really made of. When in doubt if the price is too good to be true, then it probably isn't what it is claiming to be. Shopping at a reputable place helps mitigate this risk however.
Also, I recommend a lace front wig if available, the prices are a bit higher, but the hairlines look much better, and the fit seems much more natural, obviously there are good and bad ones, but I would look at lace front wigs before other types. The only down side is a lace front wig of high quality will come at a steep cost.
Another potential solution if your natural hair is long enough, is clip in extensions. It might take a bit of work finding ones that match your hair color, and look good, but once you learn to put them in properly, hair that is only to your ears can become quite believable hair to your shoulders.
Good luck, and keep us posted on your hunt for hair

I might be lightening mine soon and it may just fall out, so I might be looking for tips myself.