You have received a lot of helpful advice above. In particular, go listen at different shops and shows. This is a learning experience, and the more you hear, the better you will become at discerning differences and the more confident you will be in your own judgment. You will develop your own personal set of priorities. I know my own priorities include speakers that sound lively and full at lower volume levels, not just when playing loudly. That has steered me toward high efficiency models that tend to be more dynamic sounding such that they don't have to be cranked up.
Most of your auditioning should involve trying to replicate your home situation--speakers located similarly, you seated the same distance you would be at home, your own amp used for the audition, etc. But, when you become experienced, you might also want to audition the speaker up close because "nearfield" listening reduces the influence of the room and you get to hear the particular characteristics of the speaker better and this is added knowledge--is the speaker well balanced?; are there annoying peaks and sibilance?; etc.
There are many high end speakers out there that deliver good imaging, reasonably good tonal balance, freedom from cabinet coloration, smooth sound, etc. To me, the shortcoming of many, even very pricey, speakers is a lack of dynamics--it is not a case of not being able to play loudly, but a lack of realistic contrast between soft and loud such that one becomes disengaged from the music after a relatively short time. Most of the truly dynamic speakers are high in efficiency because they don't require much current pushing through the voice coil to deliver a particular volume level. The lower the current, the lower the heating of the wire and the less the signal is being compressed from increasing resistance in the wire as it heats up (thermal compression). I have seen quite a few audiophiles have a "come-to-Jesus" moment when they first hear a very dynamic speaker system. Many find the sound so compelling they jump on such speakers immediately. I would suggest longer term listening because many such speaker have their own shortcomings--rough and peaking response, excessively hard-edge attack to notes, etc. In other words, there are some possible tradeoffs that take some time to recognize.
