Been a couple of times a while ago. It was fun especially the first time. If you're read the stories it's fun to see some of the stuff in reality - Omaha, Buffett's house, the furniture mart, Borsheims, the steak house he goes to and so on. I also met Mrs B, now departed and had a book signed by Warren. Some of the fellow visiting shareholders can be interesting too. The actual talk you can see on Yahoo.
On a related note, I came across a website several years ago that has a lot of info from the annual meeting Q&As, as well as other interviews, etc. It's quite long, but I found it very enjoyable to read.
Yeah, I made the "capitalist hajj" to Omaha in 2005. It was fun, though I didn't really learn anything I didn't already know by reading his stuff. Like he says, buy Vanguard mutual funds.
If you listen carefully to what he is saying, even he is advising a diversified portfolio of low cost mutual funds. If you want to move a small portion of your domestic equities into BRK.A instead to try to get some alpha, feel free, but also realize how much harder it is for him now with his massive amount to invest than it was 30, 20 and 10 years ago.