Hi! I'm new to the forums and relatively new to vending at shows, so I thought I'd share my newbie advice. I skimmed through that first list that was posted above, and all of it is good, so I'll just highlight a couple of things or make a few other suggestions.
1) Price your stuff ahead of time. This sounds like a no-brainer, but at my very first show I didn't have anything priced and I ended up making pricing signs while we were setting up. I had a general idea of what I wanted to price everything at, but it's still better to have the signs made ahead of time. After the first show, I got a small thermal laminator and printed some nice, professional looking signs (rather than hand-made ones) and laminated them.
2) Bring extra paper to make signs or write things down on the fly. You never know when you'll misplace a pricing sign (if you made them in advance) or decide to re-price something, or just need to jot stuff down.
3) As far as displays go, I've found that a pretty cheap and effect display is a couple sets of wire frame cubes set up in whatever display pattern you want. I make jewelry and it works especially well since I can hang earrings, necklaces, and bracelets off of the wire itself. I did find that getting some plain black fabric to tape (or somehow affix) behind the jewelry really helped make it "pop" from a distance; otherwise, the chains got lost in the wire of the display.
4) Bring your own food. I know it's tempting to just say, "I'll get food at the show from a vendor," but it's so nice to just be able to reach into a lunch box and grab a snack or a sandwich or whatever, rather than looking around for a food vendor. If you have time to look around and want to grab some food from a vendor, great, but having your own stuff to rely on in case you get busy or don't want to get up and walk around is really handy. Plus, packing your own food will be cheaper than buying from a vendor so your overall profits will be higher!
5) Get a dolly to haul all your stuff around. Our first show, all we had was a little scrapbooking organizer cart thingy on wheels, and trying to wheel that sucker down a block of sidewalk was a PAIN. You think sidewalks are flat, but you'd be wrong. Even once we got to the hotel (we were vending at a convention) every little bump, such as the frame around the door, caused issues. We got a very small dolly for about $40 or $60 at a Home Depot and it's worked wonders for us. Don't forget to get bungee cords to strap your stuff to the dolly, too.
6) Try to fit all your stuff into a couple of very large boxes to make hauling faster and easier. I can get ALL of my stuff (excluding table and chairs, if I need to bring my own) into two large boxes, both of which fit onto our dolly at the same time, so we can haul everything in one trip.
7) Get a state sales tax ID form (assuming you're in the U.S.) and keep it somewhere with you when you go to shows. I keep mine in my lockbox. I lost my first form and had to have the state comptroller send me a copy of it...that's when I started keeping it in the lockbox so I know where it is at all times. I know in my state (Texas) at any time during a show, someone from the comptroller's office can walk in and ask to see any or all of the vendor's sales tax forms, and if you don't have yours, I think they can fine you or something, so I just like to keep mine on hand in case. (I've never seen a comptroller actually come in to any of the shows I've done, but I've only done 3 so far.) Plus, some shows require you to show yours when you check in.
Last thing...while you're at the show, consider doing deals for people who seem interested in your work. Not for everyone, but for people who may buy a lot of stuff or are really interested but need a little push. One girl was very interested in a pair of earrings I had; she asked if I would lower the price of them at all. I told her if she bought the matching necklace I'd give her $5 off the set, and she got took the offer. Sometimes I'll round to the nearest 5 if someone is buying a lot of stuff; one guy was buying $32 worth of charms, so I sold him everything for $30. Don't discount everything for everyone, but sometimes it just "feels" right to offer a little discount or bonus to certain customers, like they might come back for more (the guy who bought $30 of charms did come back and buy more stuff later that day.)
That's all I've got for now. I did find a list of stuff similar to the one posted above (not quite as detailed, though) before vending at my first show, and it does help to read through stuff like that, but experience is by far the best teacher. I've done 3 shows now and each time they can easier. Don't get discouraged if your first show doesn't go as well as you hoped. Take pics of your displays and your pieces and try to figure out what may have drawn people in and what needs improving.