Whether it's a digest-sized saddle-stapled affair printed on a mimeograph, or a hardbound four-color offset production on glossy paper with a color dust-jacket, the vast majority of conventions give their members a program book.
In the 1940s through 1970s, the program book usually contained everything the member needed -- location and hours of art show, hucksters room, consuite; maps of the facilities; information on nearby restaurants, bookstores, and liquor stores; the programming schedule; guest biographies; and messages from the concom (often specifically from the chair). It also often included advertisements for books and for other conventions (including future years of the current convention).
Later, larger, and more complicated conventions started having fancier and fancier program books, until they became too big and valuable to carry around the convention as a reference. At that point people started breaking the programming information out, both to allow printing the program schedule as late as possible (there are always numerous changes anyway) and so as to make the program schedule easier to carry around. Some conventions took to calling the fancy book a Souvenir Book, and kept program book for what was left. Some have gone to a three-way split, with a special publication containing only the programming schedule. Some smaller conventions publish a programming grid or pocket program that shows the time, room, and title of program items, but not the longer descriptions; for program-heavy conventions this kind of grid can't be just a few sheets of paper, though.
A typical program book spec (for the printers) might look like this:
2000 copies 4/4 80lb gloss cover, 40 pages 1/1 black 60lb white text inside text, plus 8 page 4/4 centerfold on 80lb gloss text. folded, saddlestitched, and trimmed to 8.5x11
4/4 means the inside and outside of the cover are both color. 4/1 would mean black and white inside. Inside covers are typically the least expensive place to add color if you want to accept color ads of have a small amount of color inside content.
80lb gloss cover means that it's on card stock, which uses a weight scheme that's not the same as the weight scheme for the inside pages, but at the same time not the same as for bond (printer) paper. Common cover weights are 65, 80, and 100 pounds.
60lb white text means normal, non-glossy paper. Usually non-glossy paper is a bit more opaque than glossy paper, so it does not need to be as heavy as the centerfold in this example. In printing, 'text' weights are 2.5x the weight they would be for bond (printer) paper, so this is equivalent to 24# paper from Staples. 50, 60, 70, and 80 pounds are common paper weights.
inside text means the bulk of the document. The 'text' here is not redundant with the 'text' describing the matte paper.
saddlestitched means held together with staples.
trimmed means it's originally printed on larger sheets and then cut down to the finished size after binding. This means you'll be able to provide bleeds, and also that the pages near the outside of the book will be slightly wider than the ones near the center.