The caravan shows are a great because you can see virtually all makes of caravan in one place, and there might be some tempting deals, but as first time buyers, I do suggest you bear in mind some of the realities of caravan ownership, which the rose tinted spectacles don't reveal.
Others have already mentioned one of the most often overlooked difficulties, warranty work. It is a fact that caravans (regardless of make) do have an abysmal record of warranty failures requiring dealers to do work during the warranty period. The cost of getting the caravan to the dealer is down to the customer, and if that has to include time of work, accomodation, and fuel, it will eat up any saving you might have made with a show deal.
The second suggestion I'd like to make is, as this will be your first caravan purchase, and the tone of your post suggests to me your not 110% certain about caravanning, buying new has quite a financial risk associated with it. Literally as soon as tow the new caravan off the dealers forecourt, you'll loose about 20% of it's value, just because it now is a used van not new. and if you decide after trying it, that caravanning is not for you, that's a hefty loss to swallow. Consider a nearly new second hand caravan, it's cheaper, and hopefully it will have had is poor build issues corrected by it's first owner. But most importantly it's value will not drop as much. As novices, I'd recommend buying from a respectable dealer, as you will get a dealer warranty, and the cover from the Consumer Rights Act.