While I have a couple of LGS's that I support (one is getting ready to dedicate the new C3 Wing of their shop) I collect older Mossberg and Remington 22 rifles- mainly from the 30s, 40s, and 50s. Those can be hard to find in good shape. I have a C&R FFL, so if I can find them on auctionarms or gunbroker, and the seller has good feedback, I buy there.
For me, most gun shows are a dissapointment. Have bought one gun in the last 6 shows (nice Marlin 39A from 1954) However, in some areas, gun shows are the way to go. In others, there are good flea market finds. In a military town, I LOVED crusing the pawn shops (Columbus GA must have a hundred pawn shops, think they all have a FFL).
Really will depend on where you are.