I don't do tri, but was on swim team at one point... i jog on occasion and bike lots now. I have long (almost to my waist) curly hair and a braid is definitely the way I go for all of the above. Fewer frizzies & less knots to work through later. The only bad things are 1) after you swim, you will have wet hair, and it will stay wet until you take the braid out, and wash and dry your hair, and 2) I had to readjust my helmet to fit over braided hair, and then you have to wear your hair the same way every time, or it won't fit right, lol.

Good luck on your new sport! oh, and just out of curiousity, you do wear swim caps doing tri? that and a braid used to keep my hair pretty protected and even dry at the crown of my head (yes, I know they look goofy though, lol).