As a Tucsonan, it's more like, "Oh, geez, there's a gazillion people coming to our city and it's going to be a zoo for a while"! But I have visited bits and pieces of the whole thing over the years. Various lots around town fill up with tents, so it's like numerous swap meets all opening up for a few weeks. A few exhibit halls and resorts get used for showspace as well. Some hotels/motels fill up with vendors, and they'll do business out of their rooms. The Convention Center will have a display of something amazing, to pull in all the schoolkids and museum-quality fans.

It's a complete mix: There are dealers selling high-quality gemstones. There are dealers selling the usual rocks and beads. And there are dealers selling big straw hats and other peripherals! Some sell wholesale only, some sell retail only, and some do either.

http://www.visittucson.org/visitor/events/gemshow/ - good overview
http://www.visittucson.org/visitor/events/gemshow/winter/ - list of different shows participating
http://www.tgms.org/2010show.htm - official website