Maybe it's more a matter of choosing the right show, or knowing the show's clientele and what they want. I did a lot of wedding shows in the day, and it was mostly wedding planners and brides shopping for ideas, not to immediately buy. Depending on who goes to the show you're attending, you'll want to stock up and market yourself differently. If it's event planners, a few samples might be enough, supplemented with photos of your work focused on the custom cookies you've done for events. If it's the average consumer shopping for the holidays, then small stocking stuffers might be best to test the waters (along with photos of custom Christmas orders you've done).
If it's a first-time show for you, I personally wouldn't invest in big cookie offerings, as you may spend a lot of time making them and not sell much. I'd again start small to test the waters, and maybe also use the time to figure out (ask, even) what customers there are shopping for. Are they coming for holiday party ideas, looking for small gifts, or just taking a break from other shopping to browse and/or snack (and thus not seriously shopping for what you're offering)?