What Isn't Compatible
Neither Guitar Hero nor Rock Band for Wii offers cross-game compatibility. In addition, the Rock Band guitar doesn't come cheap. It retails at nearly $80, while a Guitar Hero controller sells for as low as $30.
Gibson SG
The Gibson SG used in both Guitar Hero I and II works with Rock Band, and with every subsequent Guitar Hero game. It sells for $30 or less.
Kramer Striker
Another more recent model that works for every game is the Kramer Striker, a wireless model that came with Guitar Hero III. However, the Kramer has become more difficult to find, and when you do find one, it can be costly. You might be better off with the SG.
More Models
Other Guitar Hero controllers work with Rock Band, including the Gibson Explorer from Guitar Hero II and the Gibson Les Paul from Guitar Hero III.
Where to Buy Them
Whether you choose the Guitar Hero or Rock Band guitar, or both, keep in mind that they are not always available in stores. Rather, it can be smart to shop online or mix that with some store shopping.