Wigs are sort of like canes; they're available in all manner of different sizes and appearances, and some people will get one simply for the look of the thing, but no one wants to need one. Regardless of which reason you may have for getting a wig, it's important to do your research and determine what is best for you. In the wig market, there are two different choices for the base materials, before you get into the aesthetic choices: synthetic and natural. Synthetic hair is made of artificial fibers made to look like hair, whereas natural hair comes from an actual person's head. There are a number of differences between the two for anyone attempting to decide between them.
The most apparent difference between natural and synthetic hair is the feel of the wig. Natural human hair will feel natural, because it is. Synthetic hair, on the other hand, can be extremely convincing from a distance, but will always betray itself upon touching it.
The immediate trade-off from the feel of more natural hair is the price. Since it's a lower-availability commodity, wigs made of human hair can be quite expensive, running to the hundreds or even low thousands for a high quality one. Synthetic wigs, on the other hand, can be quite inexpensive, from twenty bucks for a costume style wig, to a couple hundred for the highest quality synthetics.
Natural hair is capable of lasting longer than synthetic hair. Natural hair wigs can, with proper maintenance, last upwards of a year, whereas synthetic wigs often start falling apart after a few months.
Natural hair wigs will have the same manner of heat resistance as natural human hair; you can curl or straighten it, but an open flame will still ignite it. Synthetic wigs won't allow you to do that, though, since the polymers will melt at a much lower temperature. If you are wearing a synthetic wig, because an open heat source too close to your head could spell disaster.
Hair maintenance is the one area where neither synthetic nor natural hair has an obvious leg up. Natural hair can be much more easily washed and shampooed, but the trade-off is that you actually have to maintain it, as natural hair wigs can lose their shape rather easily, just like natural human hair. Synthetic hair is much harder to wash and impossible to dye, but you don't actually need to maintain it. Synthetic hair will keep its shape out of the box, and won't go flat in rain or frizzy in humidity.
When deciding on the wig, you have a number of factors to consider. Will I want to primarily wear one, or switch between a few? Can my budget afford a higher quality wig? Can my lifestyle support a higher maintenance wig? All of these are questions you must ask yourself when deciding what to buy.