At my nearby shows, ammo prices for range ammo is higher than what I can buy at Academy or Wal-Mart. At least for 9mm and other common types. Something like 380 or 32, you MIGHT find cheaper.
For guns, definitely - however, it also depends on where U live. I heard guys all the time complaining about gun show prices in some parts of the country - yet here in Texas, U get awesome prices IF you go to the BIG gunshows.