Okay, the big idea is not to find the speaker that's the most initially impressive. The idea is to find the speaker that you can listen to hour after hour, and never grow tired of. Live music is like that, ya know.
You may have to "take charge" of the audition. I don't really like quick back-and-forth A/B comparisons, and be aware that dealers sometimes use them to subtly steer you towards the speaker they want you to buy. Also, don't let the dealer put on his chosen demo discs (at least not until you're done with yours). You be the one in charge of the volume control, but don't turn it up so loud you risk damaging the equipment. I once had a customer crank the volume control way over without asking me first and quickly damage a fifteen grand pair of amplifiers, so if in doubt ask.
Choose and bring along a few songs or passages that you will use for your initial evaluation. Pick recordings with instruments whose live sound you are quite familiar with. Solo piano is good, as are male and female vocals, and maybe a drum kit to check out the dynamics and bottom end.
When you listen, ask yourself, Do the instruments sound natural? Can you easily pick out and follow an individual voice or instrument? Are you aware of the sound coming out of a box (either tonally or spatially)? Any harshness on the female vocals? How about chestiness in the male vocals? On the piano - can you hear the richness of the overtones? Do the lower registers have weight and natural resonance? Can you tell that the piano is a percussion instrument? On the drums, how is the impact? Do the drums sound solid and precise, or thick and sluggish? Do the snares snap, the cymbals shimmer and crash?
How does the presentation affect you, emotionally? Does it get through your defenses, past your facade, and touch your heart? Do you feel yourself filled with and even joining in the energy of the music? It is natural to tap your toes, or do you have to make yourself do it? How about goosebumps? Give extra credit for genuine spontaneous goosebumps.
Okay, now put the same cut on again, and listen up very close to the speakers - like maybe 3 feet away. This will put you in the nearfield, and will pretty much eliminate the room's contribution. This helps you separate the sound of the speakers from the room.
Once you have a handle on how the speakers sound nearfield, turn the volume level way, way down. Does the music still seem lively, or did the liveliness die away? Listen especially to the midrange - at very low volumes, midrange peaks are easier to hear because they are not psychoacoustically "masked" by the bass. Are the speakers still enjoyable at very low volumes? If so, chances are the speaker will not be irritating long-term.
Now turn the volume level up a bit louder than normal, and walk into the next room, leaving the door open. What you're doing now is isolating the reverberant field. Note that a live piano or vocalist still sounds like the real thing from the next room, where all you can possibly hear is the reverberant sound. A loudspeaker that sounds convincing from the next room is generating a tonally correct reverberant field along with good dynamic contrast. This test is a very good predictor of long-term listening enjoyment.
Now go back into the room, turn the volume down to normal or a bit lower, and listen from off-axis. See if the off-axis soundstaging is still enjoyable. If you plan to listen alone this test isn't necessary, but if you plan to listen with others then it's worthwhile to have an idea of how wide the acceptable listening area is.
Try the speakers up and down the range of volume levels at which you expect to listen. I've made the mistake of buying speakers that sounded great at volume levels louder than I normally listen, but then sounded dull and lifeless at my normal, lower levels.
Use the same cuts on every speaker you evaluate. Yes you'll get sick of them, so you may not want to use your most favorite songs. The consistency of program material is the apples-to-apples in your initial evaluations, assuming you are comparing at different dealerships.
Once you've narrowed down your short list to 2 or 3 contenders, see if you can arrange a longer session, and/or in-home audition, using a much wider variety of your own music. This is where you drag out all your beloved old mediocre recorings of superb performances. The wider the variety of music a speaker sounds good on, the better.
Remember that you will have to make tradeoffs. This is where you have to be very honest with yourself. For exmaple, maybe Speaker A will play louder and deeper, while Speaker B has better midrange. Only you can make the call. If in doubt, go with your heart. Go with the speaker that gave you goosebumps.
And, it is perfectly kosher to ask to listen to the finest speaker in the store, even though it's well out of your price range, just to give you a reference point. But this reference point is of course no substitute for your memory of live music.
Enjoy the journey! Enjoy the discovery! Every speaker you audition educates you, whether it tells you something to look for or something to avoid.
Best of luck to you on your quest!
Duke