Pocky is pretty delicious, honestly. If you're going to buy any, buy Almond Crush flavor.
I'd say just be yourself and bring lots of money, if you're in to buying stuff. I can blow $100-150 at a convention weekend, mostly because I buy little things like $3 manga and DVDs and lots of Almond Crush Pocky (there's nothing "japfaggy" about it, to me... it just tastes good). But if you're a hardcore collector of some kind, say figurines or jewelry or something, I'd tell you to bring more. The dealer's room is really fun, but make sure you check out some of the panels, too. Anime Convention Orlando (AFO) has a multitude of really fun ones like Anime Name That Tune, or Trivia, or "The Worst Anime in Existence" (the last one was awesome).
If there are special guests, like voice actors or artists attending, you might have fun checking out those panels, too. I remember waiting for a panel with Chris Sabat (who played half the cast on Dragon Ball Z), who had apparently slept in late and was trying to find his "dragon balls", whatever that meant.
Yeah, AFO was like my second convention back in 2005-ish, and really the best so far: my sister and our two friends got a room at the hotel, we took place in a lot of events and panels, and a great list of voice actors showed up (practically the whole Fullmetal Alchemist cast showed up, along with Jeff Nimoy, Quinton Flynn, and hahaha, Veronica Taylor as Ash Ketchum). Travis Willingham (Roy Mustang from Fullmetal Alchemist) and his fanclub, the Miniskirts, faced off against Vic Mignogna (Edward Elric) and his fanclub in a game of dodgeball. Poor thirteen-year old Aaron Dismuke (Alphonse Elric) was subjected to screaming fangirls during his panel. We marveled at the amount of people willing to shell out $100+ to buy a gunblade. We formed a conga line at the rave and partied till 2AM. There's just too much stuff that happens in a con to say all at once. I will say, however, that I hate the fact that I had to miss Megacon this year. It's one of the biggest and the most fun, but I was flat broke at the time.

I don't know why you guys are all hating on anime conventions. They are generally quite fun, you get anime merchandise at cheap prices, and there do tend to be some really great cosplayers there. I've been to AFO, Jacon, and Megacon (which is anime + comics), and I've had a great time at all three. Heck, I even get a hotel room at AFO every year, despite the fact that we live only twenty minutes away from the convention center, because it's just a lot more fun to be where all the action is.
Don't let all these jaded people get you down on anime conventions. No one's going to "glomp" you as long as you're not dressed as anyone, and most everyone there is friendly. People get a kick out of cosplaying (hell, I did it last year) because it's fun to make costumes. You kind of challenge yourself with the intricate designs on a lot of them, and you gain a feeling of self-achievement when you stand back, look at it, and realize that it actually looks pretty good. And wearing it is fun too, I guess.

I mostly go for the really cheap stuff (manga and DVDs at $3? Sweet!), but the atmosphere there, especially at AFO (which is smaller than Megacon, but larger than many), is like some mystic home away from home. In those three days I made some friends, had some laughs, spent some cash, and got this pang of nostalgia when I packed up my clothes and realized that I had to head back into the real world again. Seriously, there's just something cool about escaping everything for a weekend just to hang around with people with similar interests, overzealous or moderate they may be. All in all, a fun time if you allow yourself to forget, for a time, that you might seem a bit loser-ish on the outside looking in.