I'm a new gun owner, so missed the hey-day of gun shows. I do like going to them and actually putting my hands on a firearm I'm interested in to see how it feels in my hand, though getting a price deal is pretty unlikely. For me it's the older guns some collectors have that are the most interesting and not something you can easily find online and, if you do (such as gunbroker), you can't really inspect them for wear.
I also find accessories can be useful. My gun range had some targets for use that I really liked. It turns out they're made by a local company and that company had a table where I could buy those targets at a great price - better than I could off their website (no shipping charge, for one).
