This is a completely personal preference that I just happen to share with several of my good friends who are also into cosplay. I like wigs. I think they're easier to style and transport, you don't have to redo it every time, you don't have to wake up extra early to fuss with your hair while at a convention, and (once again, just my own opinion), I think they look more professional. I've done a few free-hair (I have no idea if this is a technical term, but it's one we use in my circle) cosplays when I've had the right hair color or can easily style my hair to look like the characters (ex. when I had red hair I cosplayed Ginny Weasley free-hair; I cosplay Lavender Brown free-hair because her style is really easy and doesn't look bad). Sometimes it works well and sometimes it doesn't. I have a wig for Ginny now mostly because I no longer have red hair, but looking back at pictures, the cosplay just looks more complete with the wig. It's really natural looking, and people actually thought it was my hair at one of the last cons I was at, but it was a lot thicker than my hair was, and had a lot more volume. It just looked better in person and pictures. It's really up to you whether or not you want to spend all that time trying in the mirror at the convention (and weeks before hand, because you don't ever want to first time you're doing a style to be when you need it: you should always do hair/makeup tests), or be able to work on a wig and get to throw it on in a minute.
'Idiot's Lantern' Rose Tyler (Doctor Who)
Astrid (How to Train Your Dragon)
Tinkerbell (Peter Pan)
Reviving This Year:
Annabeth Chase (Percy Jackson)
Katniss Everdeen (Hunger Games)