I'm one of those who gets the opposite question - I have natural straight knee-length brown hair, and I usually don't wear wigs for cosplay (see my avatar). I have people ask, "Where did you get that wig? It must have been expensive." all the time.
I put it all up in a gigantic flat bun (for lack of a better description) for my Miyaka / Suzaku no Miko cosplay last year, and no one would believe that it WASN'T a wig. ;P