In my opinion, nothing inherently wrong with buying at a show. Do be prepared for the urgent 'there's no tomorrow' sales pitches you'll be hit with and the suggestion the price you're given is a limited time offer, never to be repeated. It's generally thought by many you can negotiate a better deal away from the show frenzy atmosphere. Buying a show 'display unit' will get you an equal number of pro/con responses here. Some don't like the idea of buying something that has been traipsed through by the multitudes, or the 'used' aura of a display unit; AC running, lights on, etc.
All of that said, major purpose of the show is an opportunity for dealers to sell on hand inventory as much as any other reason. If you have your eye on a specific brand, model, and floorplan and you see it at a show. Why not give a purchase offer a whirl? If your preference is to research and narrow your focus to a brand, model, & floorplan, there's no better place to do it. We bought our TT at a GS Rally 2 years ago, took delivery at the dealership two weeks later. Positive experience for us and the TT looked and operated impeccably when we did the PDI. None of that feared 'traipsed through' appearance. Happy hunting.
