I never have personally--but here's a website with info (the article directly linked was written by a girl who actuall had it done).

http://www.hairboutique.com/tips/tip561.htm

There are apparantly many different kinds. She got human hair (really good extentions) that cost her $1600.

I'm sure there are much cheaper methods--but from seeing people wearing them, you can definitely TELL when someone has bad hair extentions in. Plastic hair looks like plastic hair, y'know?

Happy hunting--hope these links help!

--Kim