In my mind, peacocking does three critical things
(1) Establishes uniqueness (obviously)
(2) Amplifies the response - if you're a lone guy supporting the walls, that looks bad. If you're a lone guy in a fur coat with a pimp stick supporting the wall, you look like the mega creep. Conversely, if you're a guy with a girl on each arm, you look cool. If you're a guy in a fur coat with a pimp stick with a girl on each arm, you own the place. So if you peacock, make sure you're amplifying the right response
(3) Conveys your personality - Mystery gets away with fuzzy hats because that's his character - the slightly mysterious, almost standoffish magician guy. I think a red streak in his hair would not cut it for him. From what I understand, Adam is a ridiculously cool party guy, so the fuzzy hat wouldn't work - doesn't go with the personality.
I started out as a Mystery-wannabe with a fedora. Then fedoras got popular, so (1) stopped working for me - at any point, there would be 3-4 other guys wearing hats in the same club. I once ran into a dude who had the EXACT SAME hat as me (but the sucker paid more for it, haha). Then I moved into the party guy persona, so I started spiking my hair instead. Still not unique enough, so I died it white.
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If you really "have to" go all out then make sure you go out with friends who all wear the same thing. This way it looks like a social event like a bachelors party and you give each other social proof. It almost becomes weird to NOT have one.
Bearing the above 3 points in mind, if say 3 guys wear cowboy hats, none of them is unique (1). If they hang out with no girls around (hey, we've all been there at some point), they'll look like dudes looking to score - peacocked, so the negative response is amplified.
I've seen groups of aspiring PUAs wear identical hats before and they just looked obvious - one guy in hat goes off to talk to a group of girls, two other guys in hats join him a minute later. I'm not sure if I've never seen this work because they were just starting out or because it genuinely is harder - my bet is, probably both.
There's also the issue of style - peacock right and you look cool. But do it wrong and you're weird. I guess my message is: don't try to stand out too hard, especially at the beginning. The more you go out, the more cool ideas you pick up at clubs and the more your style develops. So give it time. I'm pretty sure Adam here did not get that red streak just after he finished reading The Game.