I'm Going To My First Coin Show!

I'm going with my wife, so the budget thing shouldn't be hard!

Budget is good, coins on a list in priority. With the going prices from two or three sources. The Red Book on the high side, Numismedia price list for low to middle of the road.

Yeah, for your first show, just get your feet wet. I would pick up some supplies (10x loupe, cotton gloves, flips, etc.) Browse the floor, get a feeling of whats going on, and don't be afraid to ask questions. The one thing to keep in mind is don't interupt a dealer helping someone else, and don't lean in front of someone looking at the coins. Just be patient, you'll get your turn.
Eventually, you will get you will be a pro. Have fun!

So what else can I expect to see at coin shows? I'm assuming bulk bins, slabbed coins, supplies. Do they have the supposedly "unsearched" penny rolls? I buy them from time to time if I can get close to melt value, but that is rarely the c ASE

Any chance the Dansco and similar books are cheaper at shows?

So much depends on where the show is, how large it is, how frequent they have them, how many people go there, what else is there besides coins, etc., etc., etc.
My experiesnces are the larger the show, there is a cost to get in, a cost to park, really high prices for food and beverages and the cost of renting a table for dealers is much higher. All this usually also means higher prices for anything you buy there. Most of the dealers are there for that show from all over the country so must stay at motels, hotels, pay for food in restaurants, etc. All this also means higher prices for any sale of coins or coin merchandise.
Smaller shows usually mean free entrances, free parking, not much in the way of food, more regular dealers. Table rentals are much less than larger shows. Dealers are generally from the area so they can just go home later. This means they don't have to pay for anything except the table rental.
As an example of this I find the Red Book by Whitman Publishing for about $12 to $15 at large shows and usually by mine for $10 at smaller shows.
And note at larger shows a dealer knows he probably will never see you again and at smaller shows they want to have you for a steady customer.
At any coin show always be carefull with your money. Keep wallets or cash in a front pocket. Do not produce large bundles of cash. Keep cash in smaller bundles of in several locations. If your wife is going with, make sure her purse or wallet is secure from possible thefts. Do not take or use a credit card or personal check. Note a check usually has your personal information on them an a camera phone over your shoulder can photo that. Make sure no one follows you when you leave that show too.

Here's a small tip that has worked well for me. I keep a small flip pad with the coins that I need and in the grade range I am looking for. Next to the date I have a range of price of say between ms-63 and ms-65 but not at Red Book price but rather gray sheet or just over. I let the dealer see what I am looking for and what I am willing to pay. This has allowed me to get what I want at a price that I am comfortable with, without having to do much haggling. You just have to let the dealer know that this is what is in your comfort zone and are willing to spend. This works at shows as well as dealer showrooms. Actually it works better at shows because someone will give you what you want and most dealers want to be the guy to sell the coins.