We do about 10 shows a year and they are a major part of our income. Having said that every one is a gamble and if you want to earn money you need to spend. Good shows, well organised, monitored and vetted will cost you anything from three to four figures. We make a profit from all the ones we do and have dropped some when they have come to cost covering only or start having bought in work. You need quality work, ranging from basic bread and butter items of a few pounds to three figure pieces that attract attention and most of all you need to have a good display that looks attractive. The biggest two failings most people have is that their displays look like a glorified boot sale and they undervalue their work. This also means being different. Aim to be unusual, varied and not the same sort of thing that you see so often. No offence to those that do them but bowls, pens and t light holders won't usually earn you much unless they are unusual and different.
Whenever possible we both demonstrate as this attracts people and also gives people confidence in your 'hand crafted' work.
Having said all that if you are just thinking of doing the smaller church hall type fairs then you are unlkikely to make much and may at best just cover costs. People going to them go out of curiousity not specifically to buy and expect things to be cheap. ten years of doing shows has led us to avoid them except where they are for a good reason.
Things you MUST learn if you wish to do shows
Learn to smile at ridiculous questions and have suitable responses ready
Be nice to those who know better and criticise your work
Be ready for other turners who will check your work for tool marks etc
Don't haggle, the price you ask for is the one you stick to
Wear comfortable shoes, standing all day is hard
When at a show you are an ambassador for the craft amd as such should be offering value and quality as well as a good disposition.
The cost of the show includes transport, food, accomodation if needed and should be allowed for as well as the cost of materials, hours taken to make things,power, acessories etc.
All this aside, as John said they can be great fun and you meet a lot of interesting people.
Pete