Best things to buy at computer shows:
Monitors
Cases
Other stuff (like CPU's, etc) can be had for the same prices (or cheaper) through newegg. Keep in mind, unless its a local dealer, some companies do a computer show circuit, so while you may be attending the show in your city, they may actually be based on the other side of the state. If you have to return something, you're going to have to mail it to them, as you would with newegg. And you don't know anything about their RMA policies.
I don't mean to make them sound like a terrible place to buy stuff. You'll have some haggling power, especially if you see two venders with the same item. A friend of mine wanted to buy a Geforce2 some time back, so I rode along with him. Two vendors had them, one for like $3 more then the other one. My friend went up, asked the more expensive vender if he'd sell it for $5 less then his marked price (I think it was like $155, he asked if he'd sell it for $150). The vender said no, so we walked over to the other guy and offered him the same price for his. My friend was paying cash, so the vendor agreed. You can't do that online

. While $5 didn't seem like much, it pretty much covered his admission to the show.