Gun shows are great for selection. If you are shopping for a particular item, like a 9mm pistol, but have not settled on a a brand, a good size gun show will give you a chance to check out all the models. When I was getting ready to buy Thelma her pistol I took her to a show and had her hold guns till she had hand cramps, to find out what fit her well.
You can (and should) also shop prices. I went looking for Ruger hi-caps at the Orlando show and found the exact same mags at half a dozen booths. Prices ranged from $21 to $48.
My local observation is that gun show prices are usually lower than storefront. Show markdowns range from 5% to 20% (if you're lucky). Where you can really save money at a gun show is ammo. The shops must mark this stuff up extra, because I always find good breaks on ammo at a show. If you're willing to buy in bulk, it gets better.
There are three types of dealers at gun shows:
1. The private party who rents a booth. He may be just thinning his collection, or he may be an FFL holder without a storefront. You may find the best deals from these low-overhead folks, but make darned sure of what you're getting and what you're paying for it, because you may never se them again.
2. The business entity with no local storefront presence. This may be a wholesaler/mail order business, which can offer good deals. Georgia Arms, for example, is reliable and always has a booth at local shows. I have heard, though, that some of these vendors are wildcatters who are dumping off one job lot of surplus guns and may never be back. My advice on these folks is to buy from the ones who have had a booth at the last five or more shows you've been to.
3. The local/regional gun shop. This will be a name you may recognize and a place you could drive to. Some local dealers will set up a booth at the show just to scope out the competition. Others use it as a place to have their clearance sales, knowing there will be a dense crowd of folks ready to buy. IMHO, if you find a good deal from one of these, you should go with the locals, all other things being equal.
As with any shopping, follow the basic rules. Crap is NEVER cheap enough, and if it looks too good to be true it probably is.