I've only done one craft show. It was big, and there were several other woodworkers selling pens. Mine were $20 for solid wood and $25 for some that I had taken the time to laminate. Because of my workmanship (I was new at pen turning - still am) and the quality of the finish, I thought it was a decent price, if not a little high.
There was a fellow who had a LOT of pens at his booth, and some of them were really expensive, but worth it! He used pricier kits, nicer wood, had a lot of experience, and knew how to finish a pen, and all of that was very evident when you picked up one of his pens! I thought he was well within reason to charge $50 - $100 for one of his high end pens, while his slimlines were $20. He even had a "dud" box for less than $20. He told me that he makes so many pens, if he's not happy with one, he'll finish it anyhow and sell it in the dud box.
On the other hand, there was another fellow who had some pens at his booth. He was obviously as new at turning pens as I was, but apparently hadn't seen as many YouTube videos on finishing. I mean, this guys pens were BAD. There were chips missing like he was in a hurry assembling, there were spots that just plain didn't get any finish at all, you could FEEL the spots that still needed to be sanded, and some of them looked like he used the wrong bushings - the parts didn't even match up. They were in bad shape. Yet, he was still proud enough to have them marked for $30.
As far as the undercutting the competition goes, I'd say that you should keep in mind the quality of the materials and the work.