You have the right idea. Know what you are going there to look for. Take a list. On that list, also have current prices that you can find online (include and taxes and S/H charges to be fair) and in local stores.
Don't stop looking at the very first vender that has what you're looking for. Look everywhere first. They usually hand out flyers. Take them and note on them what item you are looking at and how much. (note their location in the building too..) (NOTE: It's been my experience that they put the most expensive venders at the front of the show..)
Also include a 'backup' to what you are looking for. They may not carry exactly what you are looking for. Are you willing to compromise for something else? If so, what is it? Again, know an average price...
Try hageling (sp) with the seller if you find a lower price up the row. Sometimes they will drop their price a few $$ lower than the guy up the row.. Also see if they have any "package deals". If you're looking for a mobo and a cpu, see how much off he will give you if you buy both from him, as opposed to buying from 2 different venders. Makes RMA a bit easier if there is a problem too.
Ask about return policies. If they are local, can you return it to the store? If there is a problem, can you return it to the vender at the show, or do you have to send it to them? Is there even a return policy or you bought it.. too bad. Is there a time limit to returning the item if it's defective? Make sure that what they say is covered in writing. If they try doging these questions, quickly move away and red 'X' them.
Know if what you are buying is a retail package or OEM. Alot of times, they will display a retail package and sell you the OEM. Not a big problem, if you're expecting it..
Pay attention to where the crowds are. The people who go to these things all the time know the good venders. If there is a booth with alot of stuff and no one there, beware. Chances are they don't have a good rep., or, they are new. be careful and ask pleanty of questions.
How many days is the show? The one here in Pittsburgh is 2 days. I try to buy critical parts on the first day and try to get them in by that night. If there is a problem with the part, you have the next day to return it to them.
Take a little extra dough with you. There is always some stupid little thing that you'll want to buy. Get it. You deserve a 'toy' for putting up with these stupid venders anyway..
ALSO.....
Check out the 'junk bins'. I've found many temp. regulated fans in these boxes for like 2-3$ in all sizes. You can also find PSU extention cables too, along with thumb screws and all kinds of stuff. Keep your eyes open.
Hope I was some help..