Hmm, here are my suggestions for places where you can see, buy (and maybe even try) IEMs:
Wicked Digital is probably the first option that springs to mind. A little showroom where I've been a few times to audition stuff, and prices pretty decent (though still not competitive with overseas prices).
Audio Technica now has a dedicated store at the bottom floor of the new CBD Westfield building, and JB Hi Fi on the top floor has a pretty comprehensive selection of headphones from the usual suspects (Skullcandy, AKG, Sennheiser). Not sure about their IEM's, but they have a wide range of headphones you can try.
There are also some online stores like minidisc.com.au but you can't really take a look before then.
If I can think of any more places I've stumbled into I'd post them, but its pretty slim pickings in Sydney - especially for IEM's as opposed to headphones. Hope that helps =)