Ok... I have had every hair style there is- excluding a Jheri Curl. I've had realized hair and I have natural hair now. The reality is, something's gotta give. You can't expect to have Farrah Fawcett hair when you leave the gym no matter what type of hair you got. If you wanna keep it straight, wrapping it tightly is pretty much all you can do. And please ya'll try to wear a fashionable scarf/headwrap.
Cake: I guess your options depend on what your hair texture is. Do you prefer to wear it straight? If you're ok with your curly texture then washing it isn't a big deal. I was my hair a lot, but I only was it with shampoo every week or so. I just wash it with conditioner. Conditioners still have mild cleansers, so you don't have to worry about your hair being dirty.
Devsmama, this might work for you too if your only issue with washing frequently is the dryness.
Also don't sleep on wigs. You can have your hair braided underneath. They've come a long way from what you used to see your grandma wearing to church. I have a couple. I do braids and 2strand twists a lot too. I guess this is where I slip my plug in for natural hair... just let your hair do what it do. Then you wouldn't have to fight with it.