As much as I like digging through the quarter bins for a run of Punisher 2099, the real action at a convention always comes from browsing through Artist's Alley for the new books that you can't get anywhere else. As much as the focus at conventions falls on superheroes, there's a lot of great independent stuff out there that you can pick up directly from the people who made it -- and it's especially easy at a convention like Charlotte's HeroesCon, which gives a huge amount of floor space over to the indies.
I'm not much of an original art collector, but getting a sketch from an awesome artist is one of my favorite things to do at a convention. For someone who can't draw at all, watching artists at work is like seeing actual magic happen, and at the end of it, you have a picture of Batman. It's basically the best thing.