My grandmother wore a wig (something I found not only normal as a child, but I also enjoyed wearing one of her wigs to play a grownup woman), my mother and her sister wore hats, and I would likely wear a head scarf if I were married.
So, no first hand experience here either, but some insights I learned from friends and family:
Good wigs are expensive, and the USD 2,000 quoted below are at the lower end for a custom-made, human-hair wig. You should go for a custom-made because the cap (what the hair is attached to) is more important for your comfort than the hair is. Modern cap techniques allow for an almost invisible hairline so that styles without bangs are possible. Something that is still almost impossible to make is a curly hair wig.
Most women have at least two 'good' wigs. Not wearing the same wig every day extends its life significantly. A cheap, synthetic wig is often also in the mix, to be worn at home. I cannot say anything about wigs and exercise, but I would not wear a good, expensive custom-made wig for exercise. And yes, a wig, just like natural hair, absorbs the odor and grease, but you cannot wash a natural-hair wig every day because that shortens its life. Usually, a wig is sent to a salon to be washed and styled.
About the hair: it depends pretty much on your ethnicity. Most human-hair wigs are made from Asian hair (mainly India and China) today that requires a lot of treatment with aggressive chemicals to resemble lighter and thinner Caucasian hair. Caucasian hair comes from East European countries and is more expensive because there are less women who need to sell their hair in Europe these days. European hair is often considered higher quality, though I think that this has some racist undertones. If your natural hair is Asian then a wig made from Asian hair would be better and higher quality for you (and I am aware that the ethnic categories I use here are very broad, imprecise, and also problematic).
In general, a mix of human and synthetic hair does not work well as the two kinds react differently to humidity which will result in bad days.
Wearing a wig damages your natural hair (not an issue if you really intend to shave your head), it becomes dull and thin. Keeping your hair and tucking it under a wig makes the entire business less comfortable, warmer, and often results in a 'bump' if not done expertly. (Most people would not recognize that bump but I always find them funny.)
If you live close to an Orthodox Jewish community of some significant size, try to find a wig-maker there (Chabad women are, for example, wig wearers. If you have a Chabad house on campus, contact the rebbetzin even if you are not Jewish). Most Jewish wig-makers are used to having some clients that wear a wig for medical reasons, and they make the wigs so that the women feel comfortable and attractive wearing the wig to encourage the observance of a religious commandment. Wigs worn during/after chemo, on the other hand, are a temporary solution and the wearer is more willing to endure some discomfort as it is for a limited time.
Some reading suggestions (with apologies for the plain URLs. HTML standard does not work here to encode hyperlinks):
On international hair trade:
I enjoyed reading the following book when it came out a few years ago. Though these are women talking about wearing (or not) some kind of head-covering for religious reasons, they also address practical aspects:
Lynne Schreiber:
Hide and Seek: Jewish Women and Hair Covering (
http://www.urimpublications.com/Merchant2/merchant.mv?Screen=PROD&Store_Code=UP&Product_Code=hr)
I hope some of this can be of help...
