We have purchased both at an RV show and local dealer. Didn't save much at the show, maybe could've done better with another dealer. It was our first RV and looking back, was definitely an impulse buy.
Our last purchase, we knew what we wanted, looked a different dealers and found one close to home. We feel great about our purchase.
Lesson learned from us: RV shows are great if you know 1) exactly what you are looking for, 2) you know your prices, 3) research interest rates if you are financing 4) and how to deal with high pressure sales.
I'm glad we purchased local as we now have a relationship with our dealer and they are not far away.
If you know the exact unit you want or even considering, go to the RV show and do some comparison, won't hurt. But always be willing to turn around and walk away...you just may get a better deal in the long run.
Enjoy your search....I get the "I want" sooooo bad at those RV shows!!