PC World/Currys superstores now have a huge range of Sennheisers on show to test, along with other headphones such as The Monster Beats. John Lewis and Apple Stores also have listening stations with the B&W P5, Denon, Bose and others.
Lastly, look for pro-audio shops that cater more for the DJ. Rubadub in Glasgow have a huge range of AKG and Shure headphones which you arrange to audition. The pro audio scene tends to go for closed backed headphones for the reason of trying to mix in a noisy environment.