Presto-you're choice depends on what is more important to you-events or shopping hte dealer room. If it is events, there are more sceduled events on Thyrsdau than Sunday. However, Sunday is the best day to possibly pick up deals in the dealer room. If they sell it, they don't have to pack it up and ship it home, so many vendors will tr yto move as much product as they can on Sunday leading to some good deals.
The convention center is pretty centrally located for getting food outside of the convention center if you are willing to take the time. There is a large market (North Market) about a block and a half from the convention center (maybe a block really) where you can get anything from the city's best hot dogs to sushi and everything in between at decent prices. There are a few excellent brew pubs nearby as well with good food and good microbrews. The convention food is kind of bland and expensive, it is essentially food court food (Subway, Pizza, Chinese, subs, etc.) but there is an excellent little nut shoppe there that makes awesome home made fudge and candies and has lots of nuts, "penny candy" and tasty treats that you can get to keep in a back pack to munch on during events. There's a MAx & Erma's across formt he convention center as well where you can get good food and drink at decent prices as well.
If you like seafood, make the time to go to Columbus Fish Market (though it's not in wallking distance) on Olantangy Rd. It's expensive, but it's the best seafood I have had since I moved form New England to Ohio.
One piece of advice, bring and wear comfortable shoes. The convention center is pretty big and spread out. You will be walking a lot, so be prepared and be comfortable.
I think we miss the Independence Day festival this year, but the past few years the fireworks have occured on the Firday noght of the convention and the city has been very busy increasing wait time at restaurants and such. Two years ago it also coincided with Columbus' Gay Pride Day and downtown was a madhouse that Saturday and getting in anywhere for dinner was nearly impossible. I don't think there are any other big enents that weekend, but the NHL Draft is in the city a few weeks before and a lot is being done to capitalize on the tourist draw of that event, so the convention center area is seeing a lot of improvements and spruce ups, so there may be new venues to explore this year.
I live 35 minutes or so from Columbus, and go there quite often. There's a lot of cool things to do outside the Con and/or gaming if you like things like old books or science museums (though the Star Wars exhibit has left COSI), and places like German Village with lots of small and unique shops, cafes and restaurants. Not that there won't be enough to take in at the Con itself, but some people like to explore the city that hosts the con as well.
-M