There are 3 main shows in the Houston and Pasadena areas: The High Caliber Gun Show (at the GRB and Pasadena Convention Center), The Real Gun Show (Pasadena only), and The HGCA Show (at Reliant Park, formerly Astro Arena).
1. I would never go to The Real Gun Show again. It's total crap.
2. The High Caliber Show is mildly better, especially when held at the GRB (larger, more selections).
3. The HGCA Show is the best and, some would say largest, in Texas. I tend to agree with that. For modern firearms, there are always 4 major dealers with their price war going: AJC Sports, Bachman, Schramms (SAW), and The Gun Zone. You will also find more of other dealers that you don't see at High Caliber.
For NIB modern firearms, you cannot find them cheaper anywhere else in town 99.9% of the time, from my observation the past few years.
If you like older guns, then I think you'll like HGCA Show the best. I'm not into them, so can't tell you much price wise, but definitely there are more vendors selling old stuff there. I can tell you that many small time vendors selling used guns that are more expensive than their NIB counterparts, and they wonder why they still have them same guns show after show after show.
4. Lastly, there is also the Saxet Gun Show, held in Conroe. Went there once, and my impression is that it's a hair above The Real Gun Show, which doesn't say much.