If you are coming to the bourbon festival, coming from out of state, and driving, you don't want to miss the stock-up opportunity. Depending on where you live, prices may be better in Kentucky, but more importantly you probably can find things there that you can't find back home.
In my case, Chicago prices are pretty comparable to Kentucky prices, so my motivation is mostly availability. Long at the top of my list for whenever I visit Kentucky is Very Old Barton. I favor the 100 proof expression, but it is available in 80, 86 and 90 as well. It is very good and very cheap.
Another must-have is Four Roses Single Barrel. It is not cheap but is simply a terrific bourbon.
I usually pick up some of the Heaven Hill brand bottlings when I'm there, as they are usually a very good value, but I noticed that none of them have age statements on them anymore. Neither does the Evan Williams black label, which used to make much hay about its seven years of aging. No more. There is a bit of a bourbon shortage going on right now. Maybe this is another result.
Many places can't get Buffalo Trace, so that might be on your list.
Although Eagle Rare Single Barrel is pretty widely available, I've only seen the 1.75 liter size in Kentucky. Really a stunning bottle and something special for your bunker display.