The handiest thing to have at a gun show is something in which to carry your scores.
Luckily, ever since I started carrying my 5.11 PUSH Pack, which I got because of the fact that it fits my Eee as though it were made for it, I always have something handy. I have a feeling that most regular purses would not have dealt well with the additional burden of a pint bottle of water, a carton of .22LR, 100rds of 9mm, and a set of .45ACP carbide reloading dies, as well as swallowing the cell phone, cigs, lighters, flashlights, keys, pens, and suchlike that the purse normally holds. In fact, all I needed to do to make it ready for gun show cargo chores was remove the Eee. Tease me all you want about my "tactical purse", but that padded shoulder strap is a godsend when you're lugging an extra five or ten pounds around in there.
Another strategy I have seen used with some success is going to one of the tables manned by a big surplus vendor and buying one of the countless variety of dispatch bags, gas mask pouches, medic packs, or suchlike that they have piled on their table, usually for $10-$20. It's not like you'll never find a use for it after the show.