The great advantage of buying online means you're covered by legislation that allows you to return goods up 14 days after purchase. In-store, you don't get this protection as it's deemed you can see and handle the goods.
My advice: know the general kind of sound that you like - clear, bassy, less or lots of detail, and so on - then find the gear that best fits that sound.
I haven't bought from a dealer in-store in ten years. Most dealers don't carry all the brands, so you might need to shop around anyway.
Incidentally, if you do buy online, you can take the goods out (and use them). Your requirement is to take reasonable care of the goods. Obviously, if you trash them, you'll not get a penny back. Otherwise, it's the best way to do it. You get to listen in your home and at your own pace.