According to Encyclopedia Britannica, "A wig is a manufactured head covering of real or artificial hair worn in the theater, as personal adornment, disguise, or symbol of office, or for religious reasons."

The wearing of wigs dates from the earliest recorded times, the ancient Egyptians shaved their heads and wore wigs to protect themselves from the sun. - Courtesy of About.com

Wigs have seemingly been worn throughout history, even on the genitals (see merkin); the ancient Egyptians, for instance, wore them to shield their hairless heads from the sun. Other ancient peoples, including the Assyrians, Phoenicians, Greeks and Romans, also used wigs. Curiously, they are principally a Western form of dress — in the Far East they have rarely been used except in the traditional theatre of China and Japan. Some East Asian entertainers (Japanese Geisha, Korean Kisaeng) wore wigs (Katsura and gache respectively) as part of their traditional costumes.- Courtesy of Wikipedia.org