I don't think it matters if you buy at a show or visit the dealer's lot. The main issue is you have to do your research and homework.
We were just starting our "looking" phase. We were planning on attending a couple large RV shows while in Florida plus visit the largest RV dealer down there. I spent a couple hours researching prices of my trade. I also researched and found the lowest prices for a few of the models we would be looking at.
When we visited a dealer (Tampa) prior to any of the big RV shows we had no intention of making a deal. We told the salesman that up front. We spent 2 or 3 hours looking at different makes/models. At the end of the afternoon he shot us a trade figure that I actually thought was a mistake it was so low. I still felt the need to negotiate some add-ons, but we really got a much better deal than I ever imagined!
We did go to a couple of the RV shows later and I did not see any price indication that made me think I could have done better.