What are some good things to do when going to an audition

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.

If possible, do it at home with you own system.

In addition to the advice provided by whipsaw, if audition is for speakers bring the amplifier you are going to use with them.

+1 on a trial in your own home as being ideal.

I agree.  If the shop permits it, bring your own electronics, particularly the amplifier (it makes the biggest difference in sound, and it will have the most compatibility issues).  

Try to get use to the sound of your own speakers while sitting close up to the speakers (say 4-6 feet from the speakers).  This is nearfield listening that reduces the relative influence of the room on the sound.  Do the same at the dealership so you can compare what the speaker sounds like in and of itself.  Of course you should listen at your normal listening position too, but, with some experience, nearfield listening will give you a very good idea about whether the speakers are sooth or harsh and peaky.

Feel free to express what you like or don't like about the sound to the person helping you.  It is possible for the sound to be tweaked so that you get a better idea of what you can achieve with the right setup.  The person can adjust speaker placement, toe-in, etc., and may even swap out gear or cables.  This is a fair approach because you will probably have to make a few changes yourself to optimize the sound regardless of what you end up choosing.

Good luck on your search.