Here in the U.S.A. there are no places to try out (demo) "good quality" headphones, as for as I can tell.
I do not like most of the headphones they sell at BestBuy, so it's not a place for me to demo headphones anyway.
And usually you can mail order a headphone for a fair bit cheaper then BestBuy's prices.
In Japan, it seems they have demo setup for all headphones that are sold in a major headphone store (lucky them).
Chances are if you do enough research, whatever headphones you mail order, chances are you will keep them.