Epiccosplay.com has the best wigs for the price, quality, shipping, and customer service. They are fairly new though and don't have a gagillion options for colors and styles.
Amphigory.com has ok wigs for starting out. They have a lot of styles but not many wild colors. I only go to them if I need something in a natural color. Also shipping takes forever.
Arda Wigs (google it, I don't remember the website) has awesome wigs for spiking and they are also pretty thick. Customer service hasn't been that good with a lot of people lately though (there was a stupid idiot working with them for awhile) so it might be best to wait a bit until their customer service doesn't blow anymore.
ebay is somewhere I'll go if I need a really cheap wig that I don't want to use a lot. There are a couple good shops on there, cosplayanimewig, corg and marc, fantasy sheep, you really go by word of mouth for that kinda stuff though.
And the last place I go is cosworx. I hate their wigs, they are gross and thin, their customer service is terrible. The only thing is they have certain colors that you can't get other places sometimes. They recently started stocking some Japanese wig brands though, I haven't tried ordering through them to get them but the wigs look nice.
