the more out there, the better!! LOTS of people dress up all crazy at the shows, you won't be alone. there are also lots of people who dress up AS gaga which is very entertaining to see.
i love gaga! her show is super fun, and quite the spectacle! she even has a really good sense of humour and can totally laugh at herself -- heck, at the show i went to, she was making jokes about having a huge dick (referencing that big internet rumour from awhile back). so much of gaga's media attention is people making fun of her and not understanding her aesthetic -- knowing full well how many people would be dressing up as her for halloween anyway, she even opened a whole lady gaga halloween costume section in the merch area of her official site! (i think that's hilarious) http://ladygaga.shop.bravadousa.com/Dept.aspx?cp=14781_39845
whether she's your personal preference or not, that woman is VERY talented and you can tell a lot of blood, sweat and tears go into the making of her show. she sings, she plays instruments, the dancers are amazing, the sets and costumes are an absolute spectacle and she is full out, 100% there to perform for you. there is nothing half assed about lady gaga. she's like the madonna that loves you back. there's this whole lovey dovey interactive vibe going on between her and the whole audience, the energy and overwhelming happiness with EVERYONE there is so fun! her show is sassy, provocative (yet still totally appropriate for young people), and even manages to have a super positive, empowering message without being eye rolling cheesy & gross. GAGA FTW!!! hope you have a blast at the show, i wish i could make it to this one!