I was there recently in end of July. Was able to demo many headphones! Certainly a better place to demo headphones than places here in North America.
The two major places to visit are Kukje Midi, as mentioned earlier, as well as the Headphoneshop which is located nearby on the 5th floor of the i'Park Mall at Yongsan station. The latter is easy to find, but the former you will have to walk from the station a bit. These two places should cover most Sennheiser, Beyer, Audio Technica, AKG, and Ultrasone headphones. Also look out for many bookstores scattered across town (like Kyobo Bookstores); most of these stores have an music/audio section and they usually have some lower end headphones you are able to demo (typically lower end Shures, Phiaton, AT, etc).
Also, in the basement floor of Mokdong Hyundai department store (located at the west end of town), there was a place where you could demo Denons, Phiatons, and AT's, as well as many different IEM's. Demo'ed the D5000, 7000 and ESW9 there.
Have fun!
Edited by K_19 - 10/1/10 at 6:20am