Skeleton Man:
The best wigs I've ever found were at the place I *should* have thought of first, but came across on a chance encounter.
There will likely be a store in your area that the African American ladies LOVE... because that's where they buy their weaves, wigs, and various other beauty supplies.
So basically, do a google map search for beauty supply stores and make some calls. I notice most of them are owned and/or run by korean or chinese, but they cater to a mostly black-female audience. But like I said, that is where I look for my wigs. Usually you can find a GOOD front lace wig (WAY better than anything at party city), for between $18 & $30 dollars... not only that, but you can see, feel, and try them on to ensure quality and fit.
Also when wig shopping, you should consider that you can cut and style a longer wig to the look you need (What I most often wind up doing)... or take it to a hair-cuttery where they can style the wig for you. (Don't think that idea is un-common... most hair stylists have likely worked on wigs as part of not only their training, but their daily customers. Just make sure to inform them whether your wig is synthetic or real human hair [which would be more expensive])
Good luck, and good hunting!
P.S. I forget to mention sometimes, because I know that it's an 'issue' that some of my friends have come up against. If you find yourself in a situation where you feel out of place in a store like that, or are completely uncomfortable because it's not your "domain"... don't feel awkward! You don't need to be. Often the owners or other patrons will notice that you are *not* the 'typical' customer, and might ask you what you're getting the wig for. Your answer is simple, you're looking for a wig to dress up your Halloween costume, or if you feel like being exotic... "you're a costume designer, looking for the perfect head-piece". Owners and fellow customers love that answer, because it's usually uncommon and they'll be happy to help you find a wig that's suitable. Heck, bring in a picture. Again though, good luck...