It just depends on what you are looking for. New guns, forget it. You have maybe 20 dealers at a given show to compare. On the internet you have thousands of dealers, some with no brick & mortar stores, and no expenses of established dealers, so no one will be able to beat their prices. In the past we called these "vest-pocket dealers."
Now if you're looking for older guns or collectible guns, that's a different story. I wouldn't hesitate to go to a big show to find an early Smith or Colt, but I'd be very careful buying one on the internet. Nothing lke picking up and handling a gun to see if it's genuine or doctored up.
As far as parts, definitely favor the show. Too many faked parts for too many different guns, or too many simply miscategorized or misidentified. At a show you can look at the part you want and determine if it's good or not.
And don't forget the jerky, an integral part of every gun show.