I have never seen 9 mm cheaper at a gun show then Wal Mart. However, .38 and .45 LC are cheaper at the gun show, or in the case of the .45 LC, not available at Wal Mart. Here in Central Florida the local gun shops are way more expensive then anywhere else.
I get .45 LC at the gun shows for about $23 for 50, and the best I have gotten from a LGS is $35.
Here in Florida if the guy is trying to sell .45 ACP for $16 over Wal Mart price at a gun show, he is not going to sell much. Now he may be a gun shop guy, and he will get it there, particularly if he has a range and is a nazi over what you are shooting. No lead, no re-loads, and people either don't shoot or buy from him.