Some women buy tons of shoes, others buy tons of leggings, I buy wigs. My love for them knows no bound. That being said, if anyone has ever wanted to try but has no idea what to do, let me try and help you.

Vaira beat me to it and posted an article, which is informative, but it's more about cosplay wigs. For everyday wear, there are many different types of wigs, but it boils down to how much you want to spend.

TYPES
Lace-Front Wigs:
These are wigs that have a thin, "mesh" looking part on the wig that goes from ear to ear. It's a big piece and you can trim it to make it look like a natural hairline. It looks like this:

This particular wig also has baby hairs to make it look more natural. I will say that most of the lace-front wig styles I've seen are for people that don't usually wear bangs, but there bang styles.
The pros: A natural looking hairline, very versatile, lightweight and lets your hair and scalp breathe.
The cons: You have to be careful not to pull the hair out around the lace front part as it will become delicate. Also, you can use glue but I'm not an advocate of glue, unless you get it professionally done, and even then, it's the very, very, very last resort.

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Synthetic: Much more popular and much more cheaper. You can get a synthetic wig in any style, shape and color (we'll get to color.) One of the newer adaptions of synthetic wigs is that they can now be styled with heat, usually up to 4oo degrees. It should tell you on the wig package but never assume. AND FOR GOD'S SAKE, DON'T STAND UNDER A HEAT LAMP!!!
The pros: So many! They hold their shape longer, are easier to maintain, they dry fairly quickly when you wash them and they are cheaper.
The cons: If you wear this every day, it won't last too long (three to six months, depending on how crazy you're getting with it on.) I have noticed that the shorter a wig is, the longer it will last, as well as straight hair wigs last longer than textured ones.

Human Hair: These are expensive! If you don't mind spending a couple hundred dollars, then go for it. I don't buy human hair wigs because I change my look quite often, but if you're happy with a particular style, this is worth the investment. Human hair wigs have a more natural touch to them and look (though you can find a natural looking synthetic wig) and you can dye it and re-dye it, cut and style to let your personality shine through.

There are generally four basic types of human hair used in wigs: Chinese, Indonesian, Indian and European/Caucasian. The majority of wigs are made from Asian hair. Chinese hair has a thicker denier (unit of fineness) which results in the hair being extremely straight. It is a bit more resistant to curl and can therefore be harder to style. Indonesian hair is found in greater supply and is less costly — it can often be found in ethnic style wigs. Indian hair has thinner denier close to that of European hair but with a bit more texture. European hair is the most sought after for its fine denier.

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One of the most popular brands of high-quality human is Remy because the company doesn't do "stripping", which is a process used to force unnatural hair direction. Remy hair is the whole hair strand, including the cuticle.
The pros: Listed above. If taken care of properly, it can last up to a year. Lace-front human hair wigs are also available. Also, the shorter wigs cost a little less.
The cons: Just the price. If this is the direction you'd like to go in, make sure it's a high-quality, like Remy hair or European hair.

Blends: These are synthetic and human hair wigs. They can run high in price, so if you're thinking about buying one of these, I'd say just get a human hair wig.

COLOR
Wigs go from a #1 (which is jet black) to ridiculous letters and numbers. A wig color chart looks like this:

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If there is a slash, that means highlights. So a P4/27/30 means that the base of the hair is a four, with 27 as your lowlights and 30 as the top highlights (this is actually the color of my wig now.) The rows with two letters and numbers tend to be ombres. Here's dx2216:

Or just a broad sweep of color. This is HS Red:

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Be advised that depending on the wig brand, the color styles can be slightly different.

STYLE
There's so many styles of wigs! That's what makes wigs fun! Like the cut-off-most-of-your-hair-on-one-side-but-long-on-the-other style? Boom! Like French Braids but don't know how to do it? Done and done. "Natural" styles? They have those too.
Some newer styles have an invisible part style, which is a wig that has a diamond shape hole in the top that lets your own hair through, almost like a fall.
Majority of wigs have a natural scalp to give the illusion that it's your own hair:

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If you're a first-time wig buyer, go to store and try on wigs. Usually I go to wig shops but the style I've been sporting lately is much cheaper online (Vivica A. Fox collection.)
If you just want to buy online, keep in mind that the picture you're seeing of the wig is not the wig straight out the bag. Sometimes they are older wigs (maybe a couple of weeks) or a wig that has been shaken out so that the volume is shown. Lighting can give the wrong color impression so check out a color chart.

Hope this was helpful! Feel free to add any advice