I will echo the comfortable shoes - it's that important because there is so much walking at a quilt show and they are often on cement floors.
The last couple of shows I went to had vendors that you could buy lunch from, but they were very expensive, so I now bring PB&J sandwiches and just get a little something for desert from those expensive food vendors.
I always take a canvas bag with me to put my purchases in. Then all my goods are in one bag.