So much for what I expected as responses!
I love gun shows. I go every chance I get. I've also bought a few guns there, both new and used, and have been happy with every purchase.
The selection is the best you will find other than online (and that's a close call). However, at least with the shows you can see the goods up close, rather than just in a picture. At least down in Florida, there are about 100 booths, half of which sell guns (some only have knives, ammo, holsters, etc.). There are always 2 or 3 major sellers who have a few hundred guns for sale. Every Glock, HK and Sig model, tons of rifles, etc. Keep in mind that you need to know what you're looking for. There are those who will sell you a used gun and tell you it's new, but that can happen anywhere. Just make sure to check the gun out, and if you're not sure, ask someone who you know and trust.
Regarding tips, you can negotiate. Be reasonable, but you can negotiate. Best time (usually) to buy is late sunday afternoon. If the guy has one gun that he hasn't been able to sell, he'll want to get rid of it. But also keep in mind that if he only has one of those guns, someone else may buy it before sunday afternoon. Bigger sellers often buy the guns cheaper than smaller sellers, so can give bigger discounts. Make sure the gun comes with the correct magazines and accessories. If it's advertised as new, make sure it's new. Don't be afraid to ask him to take it apart. If the seller has them, you can negotiate accessories such as holsters, ammo and extra mags. Don't buy the first one you see. And if seller A tells you a Glock 23 is 500 bucks, feel free to tell seller B (who has the Glock 23 marked for 515) that seller A is offering you the same Glock for 500. He may beat the price by a few bucks. Finally, remember to ask about sales tax, transfer fees, background checks, waiting periods, etc. My favorite line is "This gun is marked 500. What can you do for me if I buy it now, cash?".
I have had a few slightly bad experiences. When I bought my AR-15, I gave the guy some extra cash (10 bucks maybe) to send me the box and the sling. Never got it. I bought a used HK P7M13, and it had a broken extractor (HK fixed it for free). But overall, I've been very happy. I've bought guns from shops, at shows, and online. And I will continue to buy from whoever has what I'm looking for at a good price.