I often do a fair bit of shopping at Fair Hill in the fall. The trade fair at Plantation Field CIC in September has been really growing over the past couple years and was very good this year. My favorite used to be Maui Jim, but that is no more, although I think the Lamplight shows have good shopping. Some years, the Virginia Horse Trials have good shopping and the trade Fair and Jersey Fresh in the spring is getting bigger. Not an event, but the shopping at Devon is amazing and I often go primarily for the shopping.
I was a little disappointed in this year's Fair Hill trade show compared to last - last year I remember several more tack stores that had good deals on breeches being right out front, but this year almost everything was confined to the tent, save the saddle makers and BoB.
Fitch's Corner (NY) has quite the trade fair as well - lot's of upscale (and non-horsey) goods. I haven't been in several years, but I remember Stuart having some good shopping as well.