I live in Ohio so I go every year. The shopping is awesome - really good deals! However, I went on the first day once, and was dissapointed to find that a lot of the vendors hadn't arrived yet. So, don't go on the first day or two if you want to shop to make sure they've all had time to set up. Waiting til the end, though, might result in some items being out of stock. I found a really good deal on show shirts one year but my size was almost sold out :( All the colors I wanted were, anyway.
The classes there are pretty huge, so you can sit and watch one class forever. Last year I think we saw some of the youth hunters that were jumping 2'6" or so. I'd like to try to see some of the pros or bigger fences this year, and would love to watch the jumpers... I always walk around and watch some of the western events, too. There's stuff going on in multiple arenas so there's other stuff to see if you get bored watching the hunters (I'm a hunter rider, and I admit I can start to get bored ;) I tend to look for a day when I can see hunters AND something else cool. Roping, barrels, poles, cutting are all kind of cool.
There is a fee for parking/admission... I forget how much. $20 per car maybe? I forget. I think you can buy multi-day admission as well.