Where I shop depends on the color and type of wig I need and what kind of styling it requires, but I am as stickler for for high-quality, heat-resistant, not-grossly shiny wigs from the following places.
For natural "normal people" wig styles and colors
Stores: wigs-us.com, iamahair.com, or Amazon for specific brands like Sepia, Nirvana, Forever Young, Mowtown Tress, etc. Generally I buy lace front wigs from these sites.
Ebay: wigelegance, jennyhairsense, stylewigs <-- they often carry wigs from aforementioned brands
For cosplay wigs
Stores: EpicCosplay, Arda, Matchwigs
Ebay: Charissa_Kids, CosplayDNA, Laurawu_123, CosplayAnimeWigs
Taobao: Lucaille, Grand Young, Fantasy Sheep, Charissa Kids (C.C. Kids), Kucos, Ayanamisatoru, GhostCos
Concerning Taobao: My friends and I use TaobaoFocus or EngTaobao as an agent. Price-wise, short wigs average about $15 and long wigs around $21ish with fees and shipping figured in. Taobao is a good option to go if you do group orders [re:you and your friends order a bunch of stuff together] or you yourself want to buy a number of items. Lucaille does have an English website but their shipping is pretty high [like $13+ per wig] and is more expensive than going through an agent for even 1 wig! Hopefully this adds some more shopping options to consider.
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Astrid - How to Train Your Dragon 2 | Elsa - Frozen (coronation gown) | Satsuki Kiryuin - Kill la Kill | Toothiana - Rise of the Guardians | Legolas - Lord of the Rings | Baroness - G.I. Joe