Hello fellow Windsorite! I live here too and I can tell you, straight up, we don't really have it very easy. Since I've already travelled a bit of the path that you're about to embark on, I figured I'd share my limited experiences.
Straight up, I can tell you that you're on the right path, trying before you buy. The more experience you can build with hearing the differences between pairs of headphones, the more relevant the information that people post in the forums will become. As you begin to learn the ropes, you'll come to understand the terms that people throw around. Bright, warm, fun and neutral will eventually make sense and when you feel it's time to try another pair of headphones, the reviews that people post will provide you with so much more information about a potential purchase than you thought possible.
So, as far as auditioning goes, Windsor isn't exactly rife with places where you can try out high-end stuff. Petitioning people to try out their gear is a great way to get into the scene, but as you can see from the number of replies to this post, there probably isn't a very high concentration of Head-fiers around these parts. That being said, you're sort of going to be limited to stores. There aren't many, but a few do come to mind.
From what I've heard, Long & McQuade on Walker Rd. has a few decent pairs of cans. I'm actually not sure what they have in stock, but if you give them a call, I'm sure they'll be able to tell you. From there, you could probably read some reviews so that you know what to expect, then finally rationalize what you've read once you get to hear them.
AudioTwo supposedly has some other decent stuff, though once again, I'm not actually sure what the guy there carries. I've been told he has some pretty awesome gear, but I couldn't definitively tell you if he even carries headphones. I know he stocks some of the more exotic hi-fi stuff, so there's at least a decent chance that he may have some of the stuff you're interested in. Even if he doesn't have the specific stuff you're looking for, if he at least has headphones, you can give them a listen and get a feel for what something other than Tri-ports would sound like.
LiveWire on Banwell at E.C. Row carries some high-end stuff too and I think they can at least order merchandise for you, but I don't recall them telling me they actually carried any headphone stock. I'm fairly certain Leone's Music World has headphones, but I think a number of them are actually more musician-oriented than hi-fi.
I was actually in the same position you were not all that long ago. After owning a pair of Sony MDR-V600s for what seems like forever, I ended up stepping on them and used it as an excuse to buy something new. Without reading much more than a few reviews, I semi-blindly purchased a pair of MDR-V900HDs thinking that their sonic signature would be like the V600s, but somehow "better". I was wrong and ended up selling them at a loss, but learned a pretty valuable lesson from it. From then onwards, I started reading the Head-fi forums and eventually settled on a pair of 32 ohm Beyerdynamic DT990s. I was fortunate that I like the way they sound, but in retrospect, I really should have tried harder to audition them before picking them up. On a limited budget, this becomes even more critical as you could literally try dozens of headphones before finally settling on one you like. Popular suggestion from the site's other forums is that it can be VERY wise to purchase secondhand from the buy/sell/trade forum.
It may interest you to know that there might actually be a Head-fi meet in the Detroit area scheduled for some time after Christmas. I think there's a thread somewhere in here about it. Jude, a Head-fi administrator, may even be hosting it. If I were you, I'd probably do my best to attend! Even if there's only a few people there, they're bound to have some pretty serious stuff on hand and speaking with them personally, gear in hand, is an experience that even a veteran wouldn't want to miss.
Edit:
So, I actually stopped by AudioTwo today. I think if anywhere in Windsor is going to be able to give you what you need, it's going to be these guys. Just at a glance, they had a nice variety of Grado and Sennheiser headphones and IEMs on hand and, by the sounds of it, should be able to get anything else you might need. You'll have to ask about being able to audition stuff, though if you have a genuine interest in purchasing, I can't imagine why they wouldn't allow you to take a test drive. They also take in used gear, so you may even be able to get a smashing deal on something spiffy.
These guys get my thumbs up. I'm not sure why I didn't go there sooner!
