Beckett Baseball Card Monthly has a good calendar of shows all over the US and their Hockey guide lists some Canadian shows too. At a show you'll find that you might get better prices, but sometimes less service. Shows are often very busy which doesn't allow the dealers to spend a lot of time helping you find what you need. Once you get your collection started you'll find shows and even the Internet are where to find the bargains. Whether you go to a shop or a show you'll need to decide how to spend your money.
Unopened packs are fun and finding a rare card can be a thrill.
Of course it matters how much of a gambler you are. Most packs contain the odds of finding various inserts on them. Before you go crazy trying to find that rare refractor, mirror, or autograph, take a look at the odds and decide whether this is the best route. In my opinion the best way to start your collection is to buy some single cards or team sets. Last week we spoke of collecting teams or players.