Two very important things for me regarding this are:
- bring your own CDs (or whatever you want to listen to on the speakers). The important thing is, that you're familiar with the recording.
- try to listen to the speakers in your own home. Some dealers offer you to test speakers at your place, sometimes over the weekend. Speakers and room are a unity and each room is different, so it's likely there will be rather huge differences between different rooms with the same speakers. A good return policy might help as well.