Yes, bring your own CDs. If the dealer has a versatile set-up, request a room size that is closest to your own. Also, if you have space restrictions at home, request that the speakers be placed approximately the same distance from the wall.
If you plan to use reasonably priced cables at home, ask the dealer to do the same. There may not be any difference in sound, but at least you won't have those questions rolling around in your head.
Have the dealer use a source as close to your as possible, etc.