1)Wigs are heavy! If you are going to do a cosplay that has a wig as part of the costume, keep in mind that the longer the hair and the longer the time spent in it, the bigger headache you will have by days end. My Lady Arrow costplay has a short wig. I can wear this wig for about 8 hours before I start getting a headache.
My Daenerys, however, gave me a headache after about 4 hours. I had a migraine by the end of the day. Also, I got the same type of wig I got for my Lady Arrow. Big mistake. If you do a long wig, do yourself a favor and get a lace front. It's a bit more expensive, but well worth the investment.
Also, my Twilight Sparkle was fairly heavy. Although not as long as the Daenerys, it had the added weight of ears and a horn.
Look for a blog all about wigs in the future.
2)Think about your shoes! First of all, don't wear tennis shoes with a ball gown. Also, the Con floors are filthy, try not to go barefoot. There are plenty of tutorials for invisible shoes if your cosplay requires no shoes. If you don't wear heels on a regular basis, about an hour on the concrete floors of the con and you are going to be in agony. Either train your feet for the con by wearing heels prior to the event, or choose a more comfortable shoe. And don't think you can just tough it out, cause the pain will be written all over your face. I can tell just by a look if someone's feet are killing them in their heels.
3)Corsets are painful. If you have never worn one, wear it BEFORE your con or you will live to regret it. Corsets force you to have very good posture. Most of us don't have great posture, therefore the corset uses muscles that aren't used to being used. You will have a backache of epic proportions if you do not train your muscles before the con.
4)Speaking of wearing things before the con, make sure you wear your entire cosplay prior to the con! I cannot stress the importance of this. It would be terrible for everything to look perfect, you get to the con and change, and the entire outfit starts falling apart. Wear your cosplay around the house for a day. Sit, stand, walk. Pose in it. Make sure that everything is secure and that it looks good on your body. I made this mistake with my Daenerys cosplay and look how poorly fitted it is at the first con I wore it to:
You can see the fabric puckering off of my abdomen, when her outfit is supposed to be very fitted.
5)Think very hard about the character before you sex it up. Now, I'm in no way saying that making a character sexy is taboo. I love seeing the sexy costumes out there and have nothing but deep respect and awe for the women who put themselves out there in such costumes. It's not me, but I'm okay with it. That being said, there are certain characters that you probably shouldn't sex up. For example, if you are cosplaying a My Little Pony character at a con that is likely to have kids, you may not want to wear a corset that gives you ample cleavage and a short skirt. Although you may look incredible, you may end up on the receiving end of a lecture by the parents of a child who wants a picture with you. The above scenario actually happened to an unfortunate cosplayer at a con I went to recently. She looked mortified, embarrassed, and on the verge of tears. If you don't wish to deal with this, then think about your character. There are plenty of characters that are already super sexy, or that have a more adult audience. My Little Pony has an adult audience, but I'll tell you from my experience, 90% of the pictures I took the day I wore my Twilight Sparkle were with children 4-8.