I would be conscious of prices elsewhere, but I may pay around or very slightly above other venue prices just for the "have it now" factor.
Let's say I'm looking to upgrade my Action Comics #684. It's on eBay for $120 all-in. I'd pay $125 at a show just because I don't have to wait for it. If I can haggle it down below eBay, then awesome! If there's no wiggle room; I'll suck it up.
I have a fluid budget, though, and everyone's MMV. Some people need to fill their collection with a strict budget, and I have nothing against that.
So, personally conscious of other prices, but not afraid to pull the trigger if it's at/above and it fits my budget.