My mingon wig was just hell.
I had never styled a wig before, and I was making these large loops in the hair. My friend, who told me she'd styled wigs lots of times before, told me the easiest thing to do was use giant sheets of plastic as a skeleton of the wig. Bad idea. I did it that way, but the wig ended up sliding back the whole day, and it was so heavy that I had a terrible headache the entire day. I restyled it without the plastic recently, and it came out fabulous.
My other worst wig experience was when I had to style a complicated odango wig in my hotel room the day before I had to wear it. I created a brand new technique for making hair buns with non-wefted extensions that no one should ever try unless it's an emergency like mine was.