As a previous long-time wearer of "systems" there's a bit more to the whole story of hair units/wigs/toupees -- not that any of you sly folks care

-- but just to put out a more complete picture
When I first started "wearing" hair, I too, went to one of these ripoff clubs. I got suckered into the whole high price, monthly maintenance routine and all the things that Drew mentioned are dead on. They try to get clients to get completely dependent on them for everything that has to do with the hair. And... only taking the system completely of once a month was horrible. It itches, it shifts, and it can smell too. Just awful. But the club-route is only one approach.
What I fortunately found out -- through other online sites, etc. is that someone can just order their hair systems themselves for a pittance of what the "clubs" charge (before going sly I was only paying $150 for a unit for top-notch product), get someone local to cut it in for them, and do all the attachments and cleanings themselves. The learning curve wasn't that great and the good thing is that it gave me the freedom to take it on and off whenever I wanted or needed too. Some guys take their hair off every night. Some, every few days to a week or so. That's pretty much the routine I followed.
And, talking about the hair systems now themselves -- the touch detectability can vary dramatically. It depends upon the base material and method of attachment. You can order hair that uses a lace-type material as the base and a special adhesive. When I had hair that way, I could barely feel where my real hair stopped and the unit hair began.
And -- I went swimming in the ocean and pools aplenty without any fear of losing my hair or it coming loose. Showered with it on everyday, etc. -- When the units are done well and applied well -- they really do look well too.
The inherent downsides though remained. You have to constantly monitor how it looks -- especially the front area. The hair can oxidize and get a different hue than the rest of your hair -- a dead giveaway. And the units wear out (hair falls out, bases begin to rip, etc.) after months (depending upon how you care for them). Plus, the whole taking it on and off is a real pain in the butt , and cleaning them, etc. -- it could literally eat up hours in a week. It can still itch, it still feels like you are wearing a hat 24/7. You still can feel very conscious of it all the time. But a lot of guys just deal with all of these negatives -- cuz they want the look. Thank goodness I came to my senses and ditched the rug a few weeks ago. I actually went back through my books over the past ten years and was dumbfounded by how much money I spent (even ordering myself, etc.) on hair (units, haircuts, products, etc.)
Anyway, I've rambled on enough -- just wanted to provide a broader picture of the "industry" to any of you interested.