Find some tracks that are demanding in different ways. When people move up from a 1500 device to a 2000, or even just to a different 1500 device (or more well chosen 1000 device :) ) it can often not be heard on a 'normal' track. You've got to find the stuff that pushes the system.
Some tracks I use:
Dark Side of the Moon: the place where all the clocks go crazy. There is one in the upper right, how does it fade as the scene progresses? How much punch does it have? How distinct are the many clocks during the climax of that part? What is the soundstaging - can the clock in the upper right be heard above the speaker relative to the other clocks, or just vaguely somewhere off to the right? There are some footsteps right before the clocks (30 sec?) - is the guy distinctly walking around, or are there 'just footsteps'... On a good system you can hear exactly where he is going.
Celine Dion - Power of Love - there are several places on this track where if you have a 'bright' system it will sound horrible - static and a raspiness that is hard to listen to. During the highs where she really goes for it.
XLO reference recording Test and Burn In CD - the last version of 'Stormy Weather' - she should basically be in the room with you. And that saxaphone (is it a sax?) should really float like you are in a different sized room that your possibly relatively small living room and be like a real instrument rather than just the noises it makes. When the sax solo starts it should be shocking how real it sounds, people should perk up and look at eachother in amazement or at least smile a little to themselves.
Shostakovitch's 8th.... Nothing to say - Dynamics!! Wow... Dynamics. I have the Previn/Grammaphone one - others aren't as strong in the highs.
Jewel - Pieces of You - something games - I use this one for something I have a hard time putting into words, 'sterile' sounding vs warm, not sure, but this is a great female vocal - it should be emotional, I get an emotional response from some systems and from others it is dead. I know this is my most fuzzy one...
On a Dynamics note - find a good recording of Tchaikovsky's Romeo and Juliet and play it in your car system - or a friends car system (if yours is really good) and turn the bass controls up really loud for the loud parts with the Tympani and brass - where it really gets going - it will just be a blur of bass, mid-bass, and upper bass and some midrange noise. On a bad system it will literally just be sound and having nothing to do with X instruments that you can pick out. Most woofers give out very, very quickly here. Then play that minute on your system, and the best one you can find at a local dealer. And do all of these tests at around 90 - 95 db at peak. That minute shows the difference between a lot of systems and their ability to deal with intensity.
Stuff like that.... I can keep going for a while on pieces to listen to on various CDs... Quiet stuff, too, many have a favourite acoustic guitar piece for testing. You should be able to hear the strings plucked and the vibrations that follow in a very clear way. Another adjective for this - air. Basically most audiophiles have 10 or so CDs that they use for these purposes with various 'extreme' (even if extreme is very low volume single delicate flute - extreme in its own way, I don't just mean loud) places. I know one guy who has a few recordings that have key passages at common crossover points for most 3-way speakers, and he looks for coherency at those points to see if the crossover is done well, or if it is bloated or lacking.
You should note that once you are around 4k to 10k for a system, the improvements in 'under 95 db sound' and for 'sound above 35 or 45 HZ' - improvements tend towards more limited and relate to the kinds of adjectives I've mentioned versus sounding fundamentally different. And this is assuming very good choices have been made in the 4k to 10k range, and that the system is well mated to itself and the room it is in. Basically things like soundstage, air, micro detail, etc. etc. become more apparent. And, of course, power handling - notice I mention under 95 db. Over 105 db and below 45 HZ there is a huge (very huge!) difference between 5k speakers, 10k, 15k and 20k. If you can find them, after choosing some tracks and listening to certain minutes over and over a lot after a few months, try some Von Schweikerts at really (ear splitting) levels - there are few speakers that can keep up with them over 105 db at any price level.
So, yeah, a lot of it is a subtle thing for most of us.
Here is probably my best piece of advice. Go listen to some live music. Jazz, or if classical, get seats very close up. Somewhere where you can really see what is going on. Listen to the instruments as you watch the person, and notice how imperfect the actual noise is, and how you can hear the subtleties. For example, cymbals. They don't make one sound, first one part of the curcular part hits on the rim, then more, and then the rest. On a bad system its a single noise (which sometimes, if they person hits it right, it can be), but on good systems those imperfect hits can be heard... Singers lips can be heard just before or after some notes, quick breathes in/out just before or after some notes, extreme detail that is lost on lesser systems...
But, hey, per the above advice I also know people who listen to those 1-minute segments more than they listen to whole tracks or CDs. For me that is missing the point of these systems - but ultimately whatever makes us happy is just fine.
Oh - one more comment - one thing many don't realize is that normal 'rock' doesn't really sound that great on good systems. I mean, some of it with good impact and low end can 'rock' you :)... But I have had friends come over several times with various stuff that is what you often hear on the radio, or heard on the radio 10 years ago, and it all sounded kind of flat and wasn't very impressive.... A little bit of the standard radio music will be great, just depends on how they record it, but a lot of it just doesn't compare to a sonically well put together album and Jazz/classical and some others sometimes put more time into the recording process.