Worst wig experience (so far) was when I bought a blond wig for my Annabeth Chase cosplay. My friend had told me about a costume shop in town that was supposed to have really great stuff. A lot of theatrical companies would rent costumes and wigs from them. So I printed a reference picture of what I was looking for and took it with me to see if they had anything tat would match.
Well, this was one of my first cosplays, and the first that I'd made anything for or had to buy a wig for. I didn't know what I was doing. I didn't know about the different fibers and density and all that. I just took my reference to the wig desk and hoped for the best.
It could have been a lot worse, I suppose. The people at the shop were very friendly, and the wigs they sold weren't as horrible as they could be. They were definitely better than the wigs you get at most halloween stores. They had some really good looking specialty wigs that would have been great for plays and such. But their more basic wigs are still horribly shiny. On top of that, the only curly blond wig they had that wasn't an awful Farrah Fawcett 80's wig was defective. One of the front curls was smooshed beyond belief. Because it was messed up, they gave it to me at a discount, which was very nice of them. I thought that maybe one of my cosplaying friends could do something with it to make it decent, but I was wrong.
I still have the wig somewhere. Compared to my current wigs, it makes me cringe. I can't believe I ever let that thing on my head. But it was a good starting point. Now I know what to look for and I learned a lot from it.