People love to see an artist at work with their media of choice. Not all artists are able to bring their "studio" to a show for various reasons such as the need for special equipment, safety issues and space considerations. Painting, jewelry making and fiber media are some things that work well.
Also, there may be times when the show is slow, so having something to work on will help keep you from getting bored. If you can't work on your art, you can bring a computer, something to read or something else to do. Some people will feel that they are interrupting your work, and will not stick around, so working at a show can actually hurt your sales if you are not careful. Always stop whatever you are doing when it gets busy or there are customers in your space, and always greet your customer.
One way to make sure working at a show does not get in the way of sales is to set aside specific times for demonstrations, and hang a sign in your space advertising those times. You can also include the times in any promotions you send out to customers such as emails, postcards, etc.