I've bought ammo at the gun shows, but TBH, the prices weren't that great. I bought a few boxes of Magtech 9mm FMJ at the last one I went to and the prices were decent, but not great by any stretch. I just saw it and needed a few boxes and was there. And I bought it in the show and walked around with it. No cordoned off area or anything. Best bet, as others have mentioned, is looking online for the ammo deals. Check out ammoseek.com.