I agree. I would bring a list of what you are looking for and the lowest price you have seen for that item and the highest price you are willing to pay for said items. That way you have a quick reference to go by and something to negotiate with. It also shows your a serious potential buyer not just a tire kicker.
I echo the other two sentiments. I go the first day and buy a two-day pass. Already, I have an idea of what I want to get so I get a rough pricing from the net first, you might get it cheaper that way than buying in person. Also, this gives you a rough estimate of price so you can try to get the best deal.
That said, I look all morning the first day to see if they have what I want and get the prices, then that afternoon I am calling all my local gun shops to see if they can get it for a lower price. If so, then I do not go back to the gun show the next day. If not, I go back and buy what I was shopping for. Sometimes, especially for discontinued guns, you will have to jump on the first one you see even if it is not a deal.
Just my opinion, do not buy non-regulated items such as sights, magazines, ammo, etc. 99% of the time these will be cheaper via the net so why pay an entrance fee, the price (in cash, which you do not have to use on the net and get hit with a non-cash sales fee), or taxes. Shipping will be cheaper than all that even if the sticker prices are the same. If you do find something that is a an unbeatable bargain then go ahead.