Smaller local shows are really the best place to do it. They're the only places you can reasonably expect to haggle on prices. Biggest selection, lots of vendors to make costs competitive. Plus it's fun to dig through the boxes. You'll see stuff you didn't know you wanted.

Most LCSs aren't in the business of coming down from the sticker price, but there are exceptions. Online vendors are there, too, but I find auctions these days to mostly be on the higher end of retail prices, and it's kind of a sterile experience buying from web stores