If you haven't been welcomed yet, let me welcome you to the Sand Trap!
I'm not sure what you mean by a Golf Show, some courses and clubs have a demo day where one or more manufacturers set up areas where people can try out clubs. I've been to demo days where they will do a fitting there, but in most cases if it's really crowded they won't.
The demo days are a great place to try out different clubs and get a feel for what might be best for you after speaking to some of the reps. At some events the manufacturer or sponsoring club will offer coupons or discounts if you purchase clubs within a certain period of time.
You can also pay for a fitting at a local store and order your clubs online. You can usually find discounts on Callaway, Cobra, TM, Adams and Nike. Ping, Titleist and Mizuno have major restrictions on discounting so if you see big discounts on those manufacturers the site is probably selling fakes.
I'd also suggest you consider pre-owned clubs. You can get a set of last years X-Hots, SpeedBlades, or CellFusion at 50% or more what they cost new.