I dont have a store nearby, so i do most of my headphone exploring by buying and reselling used headphones. Havent made a profit nor a loss in 20 or so headphones. But in my country (Netherlands) the market is pretty bad, especially with the higher end stuff. People try to sell their (ab)used stuff often for more than new price and get annoyed when you offer them a more realistic price.
Pure shit here in Syracuse, New York. Only Best Buy and Guitar Center. No specialty shops.