I've been to JM-PLUS Electronics, and it's definitely a cool place to hang and check out headphone gear. It's almost more like a café than a store. They even sell beverages. There are sofas and tables you can sit at with a bunch of stuff to compare A/B/C/D/E... Here's their GooglePlus page: https://plus.google.com/100418682465811754228/about
I ended up buying most of my gear from Earzone, the main branch of which is very close to
http://www.pincha.com.tw/ mentioned above. It's a basic store, but the staff are friendly and generally knowledgable. Lots of gear to try out, though not all models are available at all locations. Josh in particular knows his sh!t and speaks decent English.
This is their page on one of the local "Amazon" sites, and you can check out their prices (sometimes cheaper when you buy in-store).
http://class.ruten.com.tw/user/index00.php?s=t99music
Location: http://goo.gl/maps/v2j1N
I think they host the local equivalent of head-fi.org here: http://www.earzone.com.tw/
(I speak, but don't read/write much Chinese)