Ross,
The crux of your argument is that "intent is the issue." I asked you for the difference between the two scenarios, and you pointed out, correctly, that there is intent to return one of the pairs in the second, but there is not necessarily that exact same sort of intent in the first scenario. First, I propose to you this: I think you would agree that the fact that so many of us head-fi'ers make use of retailers' return policies, that many of us in fact do anticipate the possibility of returning the item. I think I can say that a significant reason why someone would choose to buy a headphone new rather than used is because of the notion that one can return the item. In making the purchase rather than looking for a used pair, there is intent even in this.
I grant that you could nitpick this response, but let me ask you to do away with responding as if this were a flame war and consider the bigger picture:
Arguments about "intent" to return an item are frivilous because having the "intent" to return an item is not by itself unethical. You yourself said that the reason such practice is wrong is because it hurts the retailer. If the practice doesn't cost the retailer, then it doesn't matter whether someone has the intent to do the practice, at least from a moral perspective, which is the one I'm assuming you are pursuing.
I say to you, my decision to buy two headphones from amazon and return one is not immoral or unethical because I am not hurting the company. Amazon's prices are competative, but they are not the lowest available, and I have spent enough time researching these three headphones to know that my buying them new from Amazon means that I will be paying more than I need to. The fact is that I will only make purchases from a company that will ensure that they allow me to return any item I purchase without worrying. If Amazon had not posessed a liberal return policy, I would not consider buying any pair of headphones from them. Amazon may have to take a return and sell a product of theirs without making any profit (while still recapping their losses), but they are rewarded for this inconvenience by my repeat business.
There is no reason for you to worry about the action being unethical if the company isn't worried about it. Amazon opts for their return policy because they know it is a source of repeat customers. If they were being harmed by the policy, they would impose restrictions. Amazon, at the end of the day, will be looking at their income statements, and even with me returning a pair, the company will still be better off than if I had chosen to go buy used or elsewhere.