Synth and virtual guitar
The Roland VG-99 isn't a guitar synth. It's a "virtual guitar" processor, hence the VG nomenclature. The difference is important. A VG creates new sounds from your guitar's original sound. The important thing to remember is that a VG preserves all of the nuances of your playing, including artifacts that don't have a specific pitch (e.g. fretting noises, pick slides, string squeaks). You don't have to alter your playing technique at all for a VG. There's a lot you can do to get unusual sounds using a VG's built-in effects, but the base sounds are always some kind of plucked string instrument.
The Roland GR-series products are guitar synths. These extract pitch and amplitude information from each string to generate MIDI data, then feed the MIDI data into a sound module. You have a wide variety of instrument sounds from which to choose: various kinds of pianos and organs, woodwind and brass instruments, stringed instruments both plucked and bowed, electronic synths, orchestral pads, ethnic instruments, etc.
A guitar synth (like a Roland GR, but these comments apply regardless of brand) requires that you adapt your technique to cleanly trigger the pitch-to-MIDI conversion. This requires some practice to get the best results. If you try to play as you normally do you'll get a lot of weird sounds as the unit tries to extract the pitch of various noises that sound perfectly fine from the guitar, but don't have definite pitches.
The GR- and VG-series share a requirement for having a hex pickup on your guitar. You can buy guitars that already have a pickup installed internally, or you can add a pickup to an existing guitar.
Fender makes a "Roland-ready" Strat. Godin and Brian Moore make a number of guitars having 13-pin hex outputs that'll plug into a VG or a GR. There are probably other brands that sell "synth ready" guitars.
You have multiple choices for an aftermarket pickup. Roland sells their GK pickup both as a unit that mounts on the guitar top and as a set of components that can be installed internal to an existing guitar. The Roland pickup is a magnetic pickup that sits very close to the bridge. Other vendors such as RMC make piezo-based hex pickups. There's no visible sign of these pickups on your guitar other than the 13-pin jack and any controls that you add to control the synth from your guitar.
If all this isn't complicated enough, there are still more options.
Roland and Axon make standalone pitch-to-MIDI converters that can be combined with one or more MIDI sound modules of your choosing.
The VG-99 has a built-in pitch-to-MIDI converter that can drive external MIDI sound modules.
Sonuus makes a tiny monophonic (one note at a time) guitar-to-MIDI converter that plugs in between your guitar and a MIDI sound module. The Sonuus G2M uses your guitar's existing pickups. At US$99, the G2M (combined with any MIDI sound module) is a very inexpensive way to dabble in guitar synth without a huge investment. I sometimes use my G2M together with a Roland SH-32 synth to play atmospheric pads or to fatten up solo lines.
Finally, when you play traditional instruments using a guitar synth there's a lot more involved than cleaning up your picking and fretting technique and choosing a sound. You have to play as-if you're playing the instrument in question. A sax, for example, stops sounding like a sax the second you bend a note or play a guitar-like line.