Most calves are nervous at their first show, once they get used to the surroundings they tend to calm down, if you are trying to take the edge off of one try one of the things listed below, either will work on most calves and it is not something that will hurt them or illegal. I prefer the first.
Melatonin 100mg (33 3 mg pills) ground up and put in their feed, start before you leave for the show.
Sullivan's Calf Calm, follow the direction on the tube. Like it was implied by HDRider, if you get wound up before the show the animal will as well.
The real work starts at home if you work them every day, moving from one area to the next, have other activities going on in the barn, feed them at the same time every day and then feed them the same at the show.
If your calf gets wound up use the melatonin if it just get nervous and overly aware, try moving and stalling with an animal that is easier going, the buddy system works well.
Stay calm, figure out what winds them up and get ahead of it, most of the time you can feel them tense up, once you feel it diffuse the situation (move them away, turn them, shorten up on the lead or tie them up real quick so they can get over it)