As a current Orthodox Jew, I wear a wig a lot.
I don't find it as hot as some others, but it's not as comfortable for me as a headscarf. You do get used to wearing it, though and it's not such a big deal.
Here are my recommendations:
1) good-quality human hair- I started out with out of the box wigs (not custom) which were middling quality hair. Even when they were freshly washed and set, they'd look kind of messy and ratty after a few hours of wearing ad after a few years were really worn out. I've had a custom-made wig with good quality hair for about the last 12 years. I don't wear it every day, but I wear it quite a bit and it still looks nice. It also goes a lot longer between wash and set appointments- I only have it professionally done about twice a year.
So- it's a bigger investment in the beginning- mine was $1000 12 years ago, but I've saved a lot of money in the long run and it's more comfortable and looks better.
2) In my case, my head is massive and I have a low hairline, so I had my wig custom-made to fit my head. It makes a tremendous difference- when I wore out of the box wigs, I always ended up needing to take tylenol for a headache. YMMV with this one, obviously, but your head shape is something to consider.
3) Whoever mentioned fringe or bangs before, is very right. If you have even a thin layer of bangs at the front, the wig will look more natural. It might also lower the cost, since those fine baby hairs they do at the front to make it look more natural can be very tricky to get right.
4) There are all kinds of other ways to make your wig more versatile and/or natural looking- you can get a multi-directional part, which will allow different styling options, you can get a skin cap put under the part, which looks more natural, etc.
5) If you're going to invest in a good quality wig, consider going a touch darker than you like. (not too much, though) Over time, the hair will oxidize in the sun and will get lighter. A good wig can be dyed, but once you're at that point, you're into the last couple of years of the wig's lifem since it can only be dyed so many times.
If you have any questions, feel free to pm me