One cosplay that has always impressed me (well, when it's done like well....) is Jessie from Team Rocket in Pokemon!
In the show, she's just a fiery red-head, but when she comes to life in cosplay, I've seen some cosplayers do the really fun thing of making her hair TOTALLY stick out, just like she's been pulled out of the 2D world of Pokemon. I mean, her hair /never/ separated or blew in the wind or anything during show, so why would it in real life?
Anyways, as you can see these cosplayers all do a great job of making Jessie's hair hilarious real, rather than resorting to a plain, red wig (which, in comparison, would be totally lame. Sorry.)
2&3: http://ryoko-demon.deviantart.com/ (SHE MADE A WIG TUTORIAL!!! SO HELPFUL: http://ryoko-demon.deviantart.com/art/Jessie-wig-tutorial-188470197)
5: Emerald Coast Cosplay