Check out roll4initiative, they have a nice dice tower

Sometimes it's a brand new item that grabs your fancy. Sometimes it is something you can't normally buy, like individual pieces of Dwarven Forge sold by the pound. Some stuff is prohibitively expensive to ship, like metal Campaign Coins. And some things you just can't tell the quality of an item unless you see it, things like shirts, mats and dice vary wildly in their manufacturing.

There are also places that sell dice by the mug, or have huge tubs of pre-painted plastic miniatures you can pick through.

Usually I shop for bargains or make notes for future online or local purchases, but every so often I'll stumble on something from a smaller company that doesn't have a distributor and handles their own sales. Maybe I'll see something that I want to read or play with at the con. Sometimes I'll see something from a little company that I want to support and sponsor, so I'll buy direct from them rather than hold out for a lower price online. Ultimately anything I buy at Gen Con is because it suited my capricious nature at the time....

My purchases vary. When I buy art, I like buying it at GenCon, so I can meet the artist, and I enjoy browsing the items, and being able to actually pick them up and touch them. I also like buying newly released items, mostly Paizo stuff. But I really love digging through the bins of old DnD minatures, the plastic ones and then the metal ones and picking up a small bundle of them. Yeah I might be able to do it online, but there is just something about getting the items at GenCon.

For a few years my biggest purchases have been Magic cards. I only play the Commander format casually with friends. So GenCon is a good opportunity to get many old, expensive cards for low prices. So I'll spend a few hundred dollars on that -- always too much. I also like to pick up promos and pick up one board game and one souvenir.

Dune the RPG..... I can not tell you how many times I kick myself for not picking that up so many years ago. Yes many games get released at Gen Con and then never see the light of day again. My rule is if I see it and want it I buy it. No regrets if I don't get it.
Randu

I've stopped purchasing from the exhibitors at the dealers hall the past few years since they've decided that - in almost all cases - they want to charge retail pricing.  Going back about 4-5 years ago, I could always find either discounted games or  end-of-day / end-of-con specials that made it worth while to purchase at the  exhibitor hall.  Sadly those days seem to be gone.

I can still see value in purchasing at the exhibitors hall for items that are limited release, or game add-ons that are difficult to find elsewhere.  For most games though, I can save money by purchasing through Amazon or a local store back home.

This year there's only one real purchase i am looking to make at gencon (or origins if i manage to get it cheaper there)..  A battlemat..

I have found many great deals in the hall.  The War Store had some super cheap items on that last Sunday that I picked up.  There are some expensive items like the Horus Heresy books from Forgeworld that I can save shipping on by purchasing them there.  I also like to grab extras of Con exclusives and then put them on ebay.  The last two GenCon have been funded completely by selling exclusives on ebay.   

Oh yeah, I also buy GenCon shirts and swag at GenCon. I know you can buy them off the site, but I like getting them at the Con.

Never been into the shirts..  Got way too many clothes as is.

What about Cool Stuff Inc? Are there prices the same as the site? Or is it cheaper?

The Auction, particularly the Auction Store, has literally the greatest deals I have ever encountered in my life ... well, sometimes.  Sometimes you end up paying too much because it is for charity or because you decide that other person OBVIOUSLY does not want the item you are bidding on enough so you just have to keep raising the price until you take it home.

But even just in one area where I search for things in the Auction (DOS-era PC games), I think every single year I have found something for $5 or less that would sell for upwards of $100 or more if you saw it on EBay or something similar.  Not to mention plenty of like 3-5 game bundles going for $10 that would sell for at least $10-20 per game normally.  People who are sick of seeing old gaming things sitting around their house are fortunately drawn to the Auction :) 

The consignment and auction are hidden gems of Gen Con.  Just don't tell too many people, otherwise prices are likely to go up!