http://www.amphigory.com would be my main suggestion. They have a good variety of wigs in normal and “party” colors, and their shipping is fast and pretty reasonable.
http://shop.cosplay.com would be my second suggestion. Their items are a little pricer and the shipping is a little more expensive, but they also have some wigs that you can’t find at other places~ And they have their own line of custom wigs.
http://arda-wigs.com is a little more expensive, but they have amazing wigs!! The quality, color and style selection is really top notch. And the owner has a Tumblr where she answers wig related questions. So if your friend isn’t quite sure if a color is the right color or the thickness of a wig, then the owner is happy to help!
And then there is eBay for much cheaper wigs. But I would NOT suggest eBay for the beginner cosplayer. It’s really hard to find reliable sellers that carry good quality. And most of the times it takes about a month to get a wig in from them. But it is possible to find amazing deals that are good quality. BUT, like I said, I would not suggest that avenue to a cosplayer that is just starting out.
Hope this helps!