I've never been to an audio show, but one day, I will.
My biggest issue is that, for me at least, it would be an excercise in futility for the following reasons:
1. Even if I had an identical set-up, it's going to sound different (due to the room. . .and that can be good or bad);
2. I likely wouldn't have an identical set-up, but want 1 or 2 components from such a set-up. Now, would that work with the rest of my system?;
3. From experience trying out guitars, amps, etc., I know it will take me weeks to truly know whether I like something or not. To feel comfortable enough to know if I like something, I need it to be in my own personal environment. I'm not the type that can go to a guitar shop and try out an amp or guitar (even several times) and say, "Oh, I want this!" I really need to be in my own little world with such things.
With all that, I have found information I have read on audio sites (and guitar sites) SUPER helpful to get a "head-start" on things. Besides that, I think I would feel a bit intimidated going to an audio show.
So, regardless of my rambling above, again, one day I will go to an audio show.
Basically, I have nothing to offer to this thread. . .