The best way to find out about shows in your area is to check out the websites of all the quilt guilds in your area. The more established / bigger guilds will have a show either every year or every other year. Some of them have an auction in conjunction with the show and some of them alternate every other year with an auction.
Also, check with the LQSs in your area and if they have an online newsletter, sign up for it. Many of them will have flyers and may also sell tickets.
If you've never gone to a quilt auction before, I recommend you go. I've gone to a couple guild auctions, and a couple church group auctions. The best one was the auction at the Mennonite church which was raising money for their missions. Quilters from Mennonite and Amish communities all over the country had sent quilts to be included. They had all the quilts hung so that we could get up close and personal with them and the work was gorgeous.
If you're interested in attending one of the big shows (Houston, Chicago, Paducah), some of the LQSs will sponsor a bus trip, which will include your hotel, some of your meals and tickets to the show. My sister travelled from Missouri to Houston a couple years ago and her total cost was just a little more than an airplane ticket (then she would have had to pay for meals, hotels and tickets to the show).