it really depends what sort of hair you are buying, and what you want it for. there's loads of different types, al suitable for different purposes.

Check out http://www.quinnster.co.uk/ - it's the ultimate hair extensions resource, good for DIY.

also http://www.drlocks.net/ - the best hair shop on the net - cheap, lots of colours, fab customer service. you might also want to check out the fakehair community on LJ.