Both have their advantages. The major shows, such as the Cycle World International Motorcycle Shows generally have a traveling exhibit featuring all the major motorcycle manufacturers as well as at least a small exhibit by many accessory manufacturers. At these regional shows, you may have time to ask questions and 'get a feel for' area dealers and their willingness to help you. Few, if any, shows are free. Be prepared to spend a few dollars for admission.
Many shows offer free parking for motorcycles.
Some shows, notably boat shows, feature significant show savings, generally not available except at the show. For most motorcycle shows, that's not the case.