First, bring cash. Seller's are far more willing to "dicker" for cash.
Second, familiarize yourself with the prices that the items you are looking for are generally going for by checking dealer's on-line and sales prices, e-bay, etc. At least you'll have a general idea of what things go for. I've seen many sellers at train shows asking more than what retail dealers are selling for.
Third, if it's a large enough show (York, Amherst, etc.), print out their diagram of where all the major dealers will be located and plan a route of where you want to start and finish so you're not wasting time. Also, if you see something you might like and want to go back later, make sure you write down where that seller is located. Nothing worse than running around trying to remember which aisle that seller was in.
Fourth, don't be afraid of making too low of an offer or "insulting" a seller - that rarely happens. It's not war out there and I'm always friendly, but you're trying to get something at the best price you can and so is the seller (see #2, above). There's no worse feeling than buying something and then finding out the guy in the next aisle over has the same thing for less money. Since you already have a pretty good idea of what the item should be selling for because you did your homework, I usually start by asking what the seller is asking for the item (even if it's marked) just to get the conversation going. I then typically start talking about the item and saying that his/her figure seems high because (it's old; it's too new; everybody's trying to get rid of them; they produced too many of them ; it's damaged/blemished; they're not popular, etc. - whatever seems right) and tell them I'd be willing to pay $xxxxx for the item, in cash. The $xxxxx figure I start with is generally about 2/3 to 75% of what the seller was asking and possibly less, especially for used and dirty rolling stock. If they agree, we've got a deal. If they say they can't take that amount or go that low, I then ask what the lowest price is they'd be willing to take. If the figure seems right to me, I'll make the deal. If not, I'll tell them I can't pay that much and make another cash offer slightly higher than my first and see what happens. It then goes back and forth on pretty much the same basis until we either get to a deal or not. I also don't nit-pick over a few dollars - it's not going to break me one way or the other, especially if I really want the item. A lot of people don't feel right or adept at "dickering", but it never hurts to try - even in retail store settings, like the big box stores. You'd be amazed on what deals you can get. If it's something you don't feel good at - practice a conversation in your head and start with a seller on something small and get the hang of it. Have fun with it - no pressure. Don't forget - as a buyer, you've got the upper hand - you don't have to buy it and can just walk away - but the seller has to lug it home w/o getting any money if he/she can't make a deal.
Fifth, don't be afraid to walk away if you can't make a deal. On the other hand, if it's that prized possession you've been looking for and it's reasonably priced try "dickering" and, if it doesn't work out, don't be afraid to buy it.
Just my $ .02
