Shipping it is always better, as there could be a world of issues, especially brakes, wrong with it. If the systems check out to be in working order and you feel that the vehicle is safe enough to make the trip make sure you have a trip buddy, just in case it breaks down.
As for legality, check with the DMV and call your insurance agent/company. You "may" be covered and legal to drive a purchased vehicle for a certain period of time, with no registration and or plates. I say may, because every State is different and the laws may not allow for such things. Insurance would be the major thing, can't ride without that in any State that I am aware of.
I believe, here in California, you can drive a purchase vehicle home within the 1st 10 days barring that you have insurance coverage and a valid "Bill of Sale" of some sort. Now I haven't looked it up, so I could be off on that, please anyone correct me if I am incorrect.
If that is not correct, California has day permits and/or trip permits for such a case, PA may be the same.
As for the insurance part, depends on your coverage that you have already, not to turn this into an insurance thread, but check with your agent, they will be able to shed some light on if you have that type of coverage or be able to issue you a 1-day policy.
Good Luck on your Bidding.