Starting from the bottom then... rather than business cards or bookmarks, what I have done is printed out postcards of the front cover and back blurb for my books. They look exactly like the cover art, and you can sign them for people buying the ebook, but are so cheap you can give them away. Very cool.
Talking points... I take a full-size skeleton around with me, along with some photos of where I've used him in shoots and films. That really gets people talking. smile emoticon
Merchandise... We had the strange experience that book sales shot up when we started taking other stuff with us, like cards, posters, t-shirts etc, although sales of those items themselves were low. Conversely, I know several authors who live off the sales of their merchandise, and sell the books as well as incidentals. Go figure.
Genre-mixing... well I write crime & sci-fi, and take both to all the sci-fi events. So long as the stall itself is sci-fi themed, everyone is fine with that and I've never even bothered 'asking'. Now the curious thing is that for every sci-fi fan who comes along, they probably have at least one mate who prefers crime, and I've found that I've sold at least as many crime books as sci-fi ones in most places. Strange, but true.
It's a loss-leader... yes, definitely. Although like I said, if you can make the merchandising bit work then that might not be true.
Signage... yes, I use antique easels and boards, but you know you can get the roller pop-ups from about £45?
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So, some more good thoughts from Graham there. To that I can probably only add that genre mixing is to taste. Crime and sci-fi is one thing. BDSM and sci-fi is another!