Check here at Greenbergs if you wish to find one near you.
Train shows are fun to go to most feature Thomas in some way, shape, or form including layouts. You will see model railroad layouts in all shapes and sizes (HO, N, and Z are common) and if you wish to buy train stuff, there usually is plenty to choose from (including Thomas wares) so make sure your wallet is fat. Greenbergs does charge an admission fee.
Wear comfortable shoes and don't dress too warm if it is cold outside because you will be inside, it gets very warm.
There are other shows which are smaller or maybe a meet up of some sort. We have been to a few that were fundraisers which means there is an admission fee involved all going to a good cause. Check your local paper or find out if there is a local train club that can direct you to the right information.
Don't forget an all Thomas show is "A Day Out With Thomas".