Go to the neighbouring national capital of Seoul, and yes, there are plenty of Headphone stores where you can demo headphones at!
The two most well known locations are Earphoneshop (near Hyehwa station on Seoul Subway line 4) and Headphoneshop located in the I-Park Mall (at Yongsan station on Line 1). You'll likely be able to demo most of the high end headphones at those two stores (Earphoneshop is a must, they have the best selection in town). Many other places around the city, too. I believe there is a Korea thread where this was all laid out, do a search and you'll find it.