One important thing that has not yet been brought up:
There are two kinds of wigs you can get: party wigs, and "real" wigs. "Real" wigs may be made of synthetic hair, or horse hair, or in some cases even human hair, but what they have in common is that the hair will have the same thickness and general texture as real hair. You can shake it, and most of the hair will fall into place (though it still needs brushing).
Party wigs are one step down from that. They are made from synthetic fibers that are much thinner than normal hair (though the wig may have more strands total to compensate for this). Being thinner, the strands are also weaker and more likely to tangle. Brushing them is more difficult, and usually results in a lot of hairs being pulled from the wig; you'll see them if you remove them from the brush afterwards.
I can't say that this knowledge will help you keep your wig untangled, but if you didn't know the difference between a party wig and a "real" wig, well, now you do. If you have a party wig, don't expect it to last too long or be untangled easily; I recommend getting a "real" wig. You can get them cheap on eBay, especially if you buy from a Hong Kong store that imports from Japan. I got a really nice one the other day for under $20.
Their bids usually remain low, sometimes because they don't offer shipping insurance, but often because many people do not want to wait a few extra days for international shipping. That doesn't necessarily mean they're less reliable, though.
