Auditioning is tricky, as I've always discovered when I've had the chance to try a few pairs of headphones. The shops here in Japan have walls of headphones plugged into distribution boxes which are not good quality. How does one determine if a $200-300 headphone is suitable through one of these things? There is a single large electronics store with listening booths, however, containing good amps, such as the Luxman P1, but that's VERY rare.
Back in Australia years ago, the one place that had pretty much the full Sennheiser range only had a CD player to plug them into. I compared my $200 MB Quarts with $600 Senns and determined the latter a waste of my money at the time for this reason.
The one dedicated HP shop I've found is in Tokyo is stocked with everything you can imagine and has a long wall of comfortably seated listening areas with good CD players, cabling, DACs and amps and is actually quiet inside. Not to mention, the staff actually know what they are talking about. The only downside is that, say, K701s cost $900 in Japan and everything else is similarly over-priced.
That all being said, auditioning, even in less than perfect circumstances, can give one some idea of what a pair of headphones sounds like. For very cheap headphones, the above things wouldn't be an issue IMO.