I've only missed a couple of CONEXPO's, one in Chicago and one in Vegas. Loads of fun.
Take comfortable shoes or boots, you will do 'mucho' walking. Takes lots of cash too, for drinks and snacks. You don't have to own a bank to buy stuff at CONEXO, but it would help. Be prepared for low quality cold burgers and dogs & greasy fries at the show snack bars. The various resturants at the show have better food, but are always packed and waiting an hour for a seat is common. Eat a good breakfast somewhere else, snack at the show, and go out for a good dinner.
Keep your wallet in an inside shirt pocket or a buttoned shirt or pants pocket. Don't leave it lay about while transfixed on the new Cat exhibit. Cops are good at and around the show, but pickpockets and others with evil intent are also numerous.
Many manufacturers have hospitality suites available during the day and sometimes, big "invite only" dinners after the day is over. Try to score a couple of these for a change of pace. They are free if you have an invitation, usually available from your dealer salesman, but you can also get one from a floor rep if you spend enough time with him and ask a lot of questions and look interested in buying something.
Just about all the motels will be running bus or van service to the show. You can take a taxi too. You don't have to stay real close to the place. The closer you are, the higher priced the rooms are and right now, likely no reservations left. But don't worry, there are always plenty of rooms somewhere in Vegas. Parking at the show is expensive and usually there are long slow lines waiting to get in.
If you are the least bit disabled, rent an electric scooter. You'll be glad you did. It's the only way I can cover the whole thing anymore. They are available right at the show and you can reserve one on the CONEXPO website.
Be prepared for lots of rude people if you are on a scooter. Place is crowded and not many folks are paying close attention to what's going on around them. All are star-struck by the next exhibit. I've had twitter-pated people fall over the cart, then curse me for being in the way.
Most every exhibitor gives something away free, some of it real neat stuff. There are cheap plastic bags aplenty, but keep an eye out and snag some of the better canvas or cloth ones. You can put a lot more goodies in them and they usually have a shoulder strap, a big plus. Some give away yardsticks or canes. Snag one of those too. Handy for leaning on when you get tired or you want to point at some feature on a machine. Give a way ink pens are a dime a dozen, good for my son whom collects them.
Take a light jacket or coat. Yeah I know, Vegas is in the desert. But a lot of the show is outside, and I've been snowed on during three shows. It can get cold there.
Don't take one of every brochure at the show. You will be dragging your bag before noon. Most of the information is available online anyway. Just get what you are really interested in, or maybe something to show the folks back home.
Die-cast toy collectors will be happy. There are usually at least two toy vendors at the shows now and they usually have some hot new products and generally decent prices with a show discount. But not always, it's buyer beware as always.
Just buy stuff at the show related to the construction and equipment side of things. You can shop elsewhere for cheaper and better quality stuff about Nevada and Las Vegas. Tee shirts, hats, postcards, etc.
If you have the time, take a day trip out to Hoover Dam and maybe fly over the Grand Canyon and Lake Meade. There are a ton of shows available, tickets are usually expensive. Tickets are available at the show and most motels. The very best shows are the most expensive. Naturally.
Behave yourself in the casinos, strip joints, and bars. If you get drunk and cause a ruckus, you will wind up in the city jail. It's not cheap to get out neither. Remember that prostitution is illegal in Clark County (Las Vegas). Ya got to go out a ways for the legal stuff, but you will find and be presented with a ton of brochures right outside the convention center advertising massages and escort services. Most very expensive.
Take a good camera with new batteries and a spare set. If it's an older model, take lots of film or video that you buy at a grocery store or other cheap retailer. Film at the show is quite expensive. There is just about nothing you can't take pictures of.
Security at the show is usually pretty tight. Don't try to sneak in. Hang on to the identification stuff they give you going in. You will need it often during the show at vendors exhibits and exits and entrances.
Do take it easy if you gamble. The casinos are not in business to give away money. Old town is a little slower paced than the strip and more enjoyable. The Four Queens has always been one of my favorites.
Pack light if you can for a plane trip. Try for carry-on only if you can stand it. You may have trouble with TSA and checked or hand-carried baggage. Consider using UPS or FedEx to send home excess stuff.
Last of all, have a great time and really enjoy the experience!!