In my area you cannot bring in any firearms licensed or not. The gun shows these past few years consist mostly of overpriced sellers peddling old crappy firearms and extremely marked up ammo. There will be a few stands selling knives and accessories that you may find a decent deal.
I haven't seen a good deal on a firearm or magazines yet at a gun show that I cannot get at the LGS.
There will most likely be 1-2 tables selling Glock80% and AR 80% lower kits and accessories and you will probably see a stand selling leather goods.
Its worth going for the first time experience.
I'm not a big fan of gun shows at least in my area but maybe it's just the organization holding the show that makes it suck.
I guess this shows how people are different. I love gun shows and go to as many as possible. I also like meeting all the people. I also think gun shows are different - depending on who is running them and where they are being held. At some shows S&W revolvers draw big prices, at others Colt brings great prices. At others still, Marlin lever actions are what draws all the attention. Some of the more "commercial" shows are rows and rows of Glocks, S&Ws, Springfield Armory striker fired, and ARs. I confess these shows bore me and I can get through them quickly.
As far as prices, mostly in my experience they are somewhat negotiable if you are serious about buying something. That said, anyone thinking they are going to run in and find 9mm ammo for ten cents a round, or .22LR for four cents a round is going to be disappointed. The sellers know, or think they do, what something is going to sell for and they are not there to not make money. If someone really needs or wants Federal HST 9mm ammo and they cannot find it at their LGS or at the big box store at any price, then maybe to them $1.00 a round is a price they are willing to pay, even if you aren't. I have paid some outrageous prices for .25ACP at gun shows because I wanted it and could not find it anywhere else.
Then there is the once in a lifetime find like the Gyro Jet pistol and ammo I found at a Peoria gun show years ago, or the exploding ammo that is no longer manufactured but still legal in many states (not Illinois). How about many older and no longer made guns that someone just "has to have" that are rarely at a LGS? Or, what about brands the LGS doesn't carry? Few LGS carry Tippmann Arms in stock (especially now) so I'm looking at gun shows. Same for several other guns,
Like I said, we are all different.