I agree with Newbee about having a familiar reference. If you do a test at a friend's house or a dealer, you are only hearing how a component reacts in that environment and with those components. Since you are not familiar with that environment, what you hear could mean anything. For example: if the unfamiliar room has a very lively boomy quality, you may select a lean cable or component that won't work in a more typical environment, etc.
I am always looking for a lower cost item that performs like the big buck items, so I am not prejudiced towards the expensive item.
It goes right back to there is no right or wrong conclusion. Every system is different. Not to mention how good or different everyone's given hearing ability is. My ultimate reference is the concert hall.