Did a show today.  There were four other turners there.  Everyone had great work. I had my bolt action pens made with black ash burl for $25.00 and the highest priced guy was $35.00 for bolt actions.  My slimlines and saturns were $18 & $20 all figured wood.  We were all within a few dollars of each other except 1 guy who was on an average $10 higher than the rest of us. At the end of the day we all got together to see who sold what.  1 $20 dollar pen sold, one set of salt & pepper shakers at $45 and a 6" bowl at $30 We were all surprised that people were at an arts & crafts show but buying like it was flea market offering us substantially less than the price we had marked on the item.  One of the vendors did lower his price to the offered price. I would just ask the customer If when they went to work on Monday and there boss asked them to take $5.00 less an hour for a month would they do it.  I sold no turnings at the show but I took a collection of our Carved Santas and even though its not the Christmas season I sold $300.00 worth of Santas. 

I do do OK at weekend Art Shows.  I generally sell between $200 to $400 worth.  I do more than just turnings, small flat work boxes seem to be the best sellers for me. I had some nice 2 1/2" dia. 3" tall turned boxes out of curly maple with inlay on the lid. Marked at $35, didn't sell a one of them. Right now I only have doing about 3 a year.
I took some of my bowls to a Flower-Home Decor store last fall to see if I could get them to buy my bowls at a cut price on my end so they could mark them up to meet their pricing. I was  told they could buy from China for $5 each and make a better profit margin.  The only thing I could offer was that it was made locally with local woods.  That wasn't enough. 
I think here in the mid-west buyers are more conservative than they are on the east and west coast.

Oh man, you guys are really making me nervous about doing a show.  I would be crushed if we didn't have several hundred dollars in sales because the booth fee alone is $125. 

I can only hope there's a better market for small turned boxes here than Kevin has found.  They're one of my favorite things to make.

I was told by my old art teacher to figure out what I wanted and then double it and they would pay it. He has been pretty well right for that last 40 years.

When some asks me to lower my price at a show I tell them all prices are negotiable.....upwards, that if I wanted less I would have marked it less. 

I don't do shows. There is nothing more demoralizing than sitting at a show all day and selling nothing. If you have paid for the site that just makes it worse.
At a large local market here there is a woodcraft stall that seems to do pretty well. The stall owners do not make the work though, rather they sell it for numerous woodworkers (probably on a consignment basis) and although the quality of the work is reasonably good,they do have a wide variety of work and it is aimed at the crafty flea market souvineer buyers.
Along the edge of the market are galleries where the expensive more arty work can be found.
To make a living from selling at a market would be not impossible but hard. On the other hand its pretty hard to make a living selling through a gallery as well unless you sell through several galleries. Having a bread and butter item (a proven seller) especially if no one else makes it can be a great help too.
Getting to the point where you earn your living from your work is probably the hardest part. Sometimes I guess you have to sit through those "sale less" days at the market to get you thinking of other ways to sell your stuff.

unfortunately, things come up that just doesn't let things work out........ for example, we had a bit of a medical problem here, so the cash i had for tools, wood, etc. had to go to medical bills.... if i still had that cash, i would be making an order for decent bottle stopper blanks and hardware. i have a place here that would buy them by the 100's if i had them available. they DO NOT want the cheep-o silicon or cork types, so that's out. so that's a HUGE lost opportunity for me....at least for now.

i'm also near oregon's wine country, and i know quite a few of the vineyard owners from when i was younger and we where still working the family farm. so that's another outlet.

my rambling point is along the same line as the bread&butter concept: find a niche market if you can and supply as many places as you can keep up with. seek out places to sell to. sometimes you have to show them what they didn't know they wanted to sell....

sometimes you just gotta think a tiny bit out of the box: i have a couple places that will buy quite a few urns if i made them. i took a sample piece in just to show them, and they bought it right then and there! it was a smaller sized urn....perfect for say....a cat or small dog. it was a veterinary office. dedicated pet owners pay BIG $$$$ to "send off" their pets!

when i sell my work i put the price on it  and it is fair for what i do. if they want it cheeper i tell them how far wal mart is  and leave it at that
i have also asked them if the want the lower price  and they say yes  i give then a small pice of wood and some sand papr and say have fun
my price is my price that is all  dont like it dont buy it

We just did real well at a wine and food festival.  sold several pens, small bowls and stoppers.  But my best sellers were simple flat working business card holders made from material out of the scrap box.