The main reason for going to a gun show rather than a local dealer would be inventory: a good gun show with a lot of tables may just have the gun you want, while the dealer (or local dealers) might not.
Except for that, I'd buy locally if I could. Prices at dealers can vary from much higher than the gun show, to consistently less. It all depends on the dealer's volume, philosophy, the guns he or she carries, etc.
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