Harvey Electronics and Sixth Avenue Electronics were the only regional chains in our area that carried high-end, and unfortunately neither of them made it through this recent recession. Harvey was great for demoing high-end headphones.
Since you're including NJ in your title, I'm assuming you live on this side of the Hudson. There's nothing left but a scattering of small high-end audio shops that must be struggling to survive. I buy my Grados and Sennheisers from a store on Bloomfield Ave. in Verona, NJ called Audio Connection. You won't get a discount from a place like this, but you'll get something better -- an extensive discussion with an audio expert regarding the specifics of your purchase, and you'll have a wide assortment of sources and amps to demo on before you purchase.
Edited by kylerk - 2/5/12 at 9:00am