While I agree with Henry that the Indy location is a good one for many people, at the same time I think it would be nice to have one on the East Coast. Henry is also right about splitting things up too much. In addition to vendors not attending all of them, there is the issue of how much time and effort is expended putting these conventions together.
My own opinion is that they ought to look at rotating the location of the SoCal GenCon. Keep the original in the Midwest, but then move the second GenCon each year. SoCal this year, Northeast next, Northwest after that, Southeast in 2007 etc. It would bring the exposure of a big convention to different places while keeping the original intact and not overly stressing the vendors, the planners and attendees.
East Coast costs can be an issue (especially New York), but they can be mitigated by moving to slightly less popular locations. Boston has its new convention center and it has a lot of unbooked time right now (good for negotiating a better price) because lots of cities are building or have recently built convention space - more space than there are conventions.