There is usually some type of deal with local distributors to offer "show specials", which may include some equipment combinations that are attractive, but for single items, the prices are not all that great of a savings, IME.
AAMOF, at the Houston show, most of the power tool prices are pretty much what you will find on the Internet, plus you have to pay 8 1/4% tax plus the cost of parking and admission.
There can, however, be savings on items like bits and blades, sand paper, other expendables and, of course, those countless little items that make a woodworker's life more pleasant and Lee Valley rich with my money.
The advantage of the shows are that everything is one location, and you get to practice self restraint by resisting the temptation to buy all the neat things you've heard about, and some you never dreamed of.
Also, there may be more than one organization putting these things on, so YMMV from one to the other.