OK, the fender options / question seems to pop up all the time. Here's my guide to some (not all) of the options available.

OEM OR CLOSE TO OEM LOOK

Repairing stock fenders
This involves grinding down rust to bare metal, patching holes with new steel and welding it in place. Grind down the welds and bondo / blend the blemishes. Repaint. It's not usually recommended, but possible to fix fenders with fiberglass. This option tends not to last as long as replacing with fresh steel, although some people have found success in using alternative repair products such as Por-15, etc..
*Make sure to properly weld the rear seams (between the quarter panel and chassis) together as this provides structural integrity for the car.

Replacing with OEM Toyota fenders - new and used
Most people look for used fenders in better condition than their own for the front and swapping them out. The early zenki models have front and rear fenders without plastic trim. This means there are no mounting holes in the sides of the fenders, resulting in a cleaner look and potentially less rust. Due to this, zenki fenders are usually more desirable.

For the rear, you may be able to cut a better quality panel from a donor car and welding the new ones in place. *Make sure to properly weld the rear seams (between the quarter panel and chassis) together as this provides structural integrity for the car.

New front fenders are available from Toyota for approx $250 or so per side. Check with your local Toyota parts dealer. Rear quarters were available at one point but has since been discontinued.

Replace fenders with "jobber" parts
These are non OEM Toyota parts, some fit better than others. Some also do not look exactly the same as OEM fenders but might be close enough - depends on your personal taste. Some have poorer quality steel than OEM, and some are rumoured to rust out faster than others.

Rolling fenders
There are several techniques to rolling fenders, some longer lasting and better looking than others. Rolling doesn't really "widen" the fenders that much, but it does push the inner lip upwards creating more room for wider wheels or increased steering angle.

The best way to roll fenders is to use a professional fender roller. It mounts onto the lugs and an arm with a wheel on the end is pushed under the fender lip. With each pass, the wheel is extended further, pushing the lip out.

Others use a more "ghetto fabulous" tool like a baseball bat to roll the fender lip using the tire as leverage. This usually results in a lumpy fender due to the uneven pressure, but to each their own.

Regardless, fender rolling usually results in cracked paint on the fender lip or the fender itself. This may require paint repair to prevent the fender from rusting. To make it last longer, some people will weld the inner lip in place and seal it to protect it from moisture.

Plastic fender covers
These are not as big or "flared" as fenders flares, they are merely plastic covers that retain the OEM look. They are usually a perfect fit and mount via double sided tape. The only ones I have seen so far are the ones from the hardcore JDM tuners like Global, East Bear, etc..
There are some "generic" plastic fender covers as well too, but there may be fitment issues and much more trimming and fitting involved. Best to contact those that have tried this and find out what brand they used or where they got them.

FENDER FLARES
There are many fender flares available on the market, some more extreme than others, some that are not so much flares but borderline replacement quarter panels. Here are some options.

Jubiride: larger sized crescent shaped overfenders front and rear, made of fiberglass with mounting holes.
http://www.jubiride.com/cgi/list.cgi?file=list4

Origin Labs: Fiberglass fender with molded in flare for the front and a crescent shaped overfender flare for the rear
http://www.origin-lab.com/oae86truenof.php
http://www.origin-lab.com/oae86r.php

Chargespeed: "Crescent" shaped fender flares made of ABS plastic.
http://www.chargespeed.com/english/ovf/ovf.htm

Crystal Body Yokohama Fender flares: Very wide fender flares, with mounting holes made of fiberglass. Requires wide fitment wheels.
http://www.cby.jp/revinof.htm

Goodline: They make fiberglass versions of replacement and fender flares.
http://www.do-luck-usa.com/goodline.html

Modified inc.: they make replicas of most of the JDM fender flares. more affordable but may require more fitment / trimming.
http://shift-lock.netfirms.com/modst...cPath=21_23_29

Toycoolrolla fender flares: Standard "crescent" shaped fender flares, with mounting holes and flared a few inches beyond stock. He makes USDM flares for the front and rear as well as JDM front and rear flares (to accommodate JDM bumpers). Affordable, may require some fitment and shaping work for perfect fit.

WIDEBODY/FULL QUARTER PANEL REPLACEMENT WITH FLARES

TRD N2 kit: Loved by some, loathed by others - to each their own. The original kit was designed for a wider stance and more aerodynamic flow. Most JDM tuners have copied or replicated this design at some point or another.
http://trdparts.jp/english/list_ae86.html

J-Blood: quarter panel replacement. The front is 30mm wider than stock, the rear is 40mm wider. The front fender replaces the OEM fender but the rear requires the quarter panel to be riveted in place or blended in. Very nice looking and great quality, but not cheap.
http://www.j-blood-na.com/86treno/index.htm