I think I've done it all except full wig: 3/4 cap, banana clip ponytail fall, braided-in extensions and glued-in (temporary) extensions.
if you're doing a big show and feel like spending the $$, glued-in is awesome. I go to the braiding supply store in the 'hood and get some wefts of hair and pay my hair gal to install them. once I had them done with water soluable glue so they lasted 2 days, the last time I did a stronger glue and they looked good for almost a week. me working the glued-ins:
Christopher J. Yetter Photography : photos : Midnight Heat @ Seattle Art Museum 2007 - powered by SmugMug
full wig is not so secure on me, so I personally wouldn't try it.
3/4 cap - I sew extra wig comb clips onto my wigs above my temples and at the nape. I have a smallish head so I find if I pull in the sides a pinch, overlap and sew them it makes the cap nice and tight on my head - that helps for the security. here's a pic of me working a 3/4 cap (same choreo, same photographer, different event and costume!):
Christopher J. Yetter Photography : photos : Belly Dance @ Bagley Wright Theatre 2007 - powered by SmugMug
banana clips are totally secure on me. I do two stubby ponytails one above the other to anchor it to, and that thing isn't going anywhere. BUT I think ponytails sometimes look a little dorky on me when I flip them around. but I do it anyway.
my hair is too thin and fine to do more permanent extensions. I did them once and I lost a quarter of my already thinning hair when I took them out. :( they move so much more naturally than hairpieces do.