I agree. There is nothing like a good horn system for effortless sound and incredible dynamics (even at low overall volume level). Also, most of what is available is quite old and so prices and resale value are stable, or in some cases, resale value is rising. Your advice on how to go about tasting horn systems is very good.
The only caveat that I would add is that one should not judge the entire category of horn-based system on any one particular version. I have heard MANY fans of horn systems say that stayed away for so long because their early exposure was to Klipschorns or something else that they did not like.
The bad news is that, once hooked, the really nice stuff gets as pricey as high end modern stuff. I spent a lot of this past Saturday listening to a horn system that is in the process of being voiced and the bugs worked out. It uses a Western Electric 713a driver, 32 horn, a Jensen RP 302 tweeter, and a Jensen M18 18" fieldcoil woofer. The bass-to-midrange crossover is a vintage Western Electric crossover and the internal wiring is Audio Note Sogon and SPx. It is an open-baffle system. The clarity, dynamics and scale of this system is amazing. The amps that I heard with this speaker were Western Electric 124s, but, I bet even a small SET amp would find this speaker to be easy to drive. A lot of fun hearing the system even though I probably could not afford them nor do I have the space for this giant.