I get mine from amphigory.com, but I have only gotten them for cosplay, not Lolita. The woman who runs it is super nice and the five wigs I've bought from her were all very good quality, though not heat resistant.
Other people have recommended gothiclolitawigs.com, which seems to have some nice looking wigs, though I've never bought from them.
The most top quality lolita wigs are Pinkage (like almond milks said) , Cyperous (like someone above said) and Gabalnara.
They have the best and nicest realistic wigs perfect for lolita!
I've never bought from Cyperous because their stock images look awfully thin. I'd probably have to read reviews though, stock images aren't always accurate, it's just off-putting.
I have two Cyperous wigs! both are thick and fabulous. I actually hate looking at their stock pics because the mannequin heads are freaky!
I find the colors to be accurate to!
I also have two Gabalnara wigs and they are awesome quality. Totally pretty with no shine, I find the shininess makes a wig look fake.
My friend has a pinkage wig and she gets asked all the time what hair stylist she goes to.
I just recommend people do not order from Gothic Lolita wigs. they are very poor quality and the fibers fall out quickly!
I've never liked the look of any of the GLW ones, especially their curly wigs. The curls just fall flat and look messy after wearing it once. I don't know about their straight wigs, but they probably aren't as nice as other options. Cheaper usually tends to be less quality.
Has anyone bought a wig from Mahou Kei? They look cute, I just haven't seen more than one, maybe two decent reviews.
In my opinion, Gabalnara is the best if you're looking for a more natural color and style. Cyperous is best for more extreme colors and styles. Both are pretty pricey, though (typically $80-$100 per wig)!
Lockshop is a good, mid-priced wig brand, and they have a mix of natural and extreme styles.
I would stay far away from Gothic Lolita Wigs. Their wigs look awful in person and their customer service is notoriously crappy.