See Getting Tickets
Game Shows usually tape multiple episodes in one day. They may tape in the morning or afternoon or both. Like sitcoms and talk shows, there is always some waiting in line involved. CBS Television City, where The Price is Right is produced, has the advantage of having a shaded seating area for the waiting line.
Some game shows show the audience on camera, others don't, so keep that in mind when choosing your attire. Business casual is always appropriate.
About.com Game Show Guide, Carrie Grosvenor, has more tips on Where to Find Free Game Show Audience Tickets.
See Audience Etiquette for more tips.