Do your listening on a quiet weekday afternoon. If the shop won't swap a few components around to give you a better idea of what can be attributed to any one component, I would try to find another shop. If there is one component you wish to hear and they aren't being represented well by your local merchant, you can turn to other dealers outside of your area and explain the situation you find at the local shop. Ask for an audition component to be shipped to you at your expense with the understanding it is only for audition and you have the right to return the product in the same condition in which you received it. If this is a rare item on the market or a very expensive product, you may have to travel some for an audition or simply write off that product. Or, you'll have to decide whether you wish to deal with a shop that isn't prone to providing good service. Possibly a call to the manufacturer or distributor can get a shop to be more cooperative.

I think most people believe they should only listen to music they are extremely familiar with but I would ask any shop to pick a few selections (you might not know) which they feel demonstrate the best qualities of the player(s) your are considering. They should know their product and their demo material well enough to do that. If you are familiar with the sound of live music, you should be able to hear enough from their selections to get a better idea of the quality of sound coming from each component under review.

Finally, I would say you need you have your priorities in order. Know how you listen and what you listen for. If you haven't been to a live concert in a while, I would definitely suggest you make that a stop before you head out to listen to reproduced music.

Jan's suggestions are good.

Since the electronics and speakers will be different than yours, I would ask them to play the CD player through their best, or at least much better systems. The assumption is that their best system is really good or better than what you hear at home. Then I would compare CD players and see which comes closest to my expectation of live sound. It's better if you have a recording of a live event that you were at and know that sound. Otherwise, it's hard to compare without famaliarity with the system's sound.

Some stores allow a home trial. I got to know a dealer very well. They allow loaners of inexpensive gear. More expensive gear, they might bring it over to try in my house some evening. Then both of you get to hear it and the dealer can suggest ideas, as well as discuss more audio with you. Hope that works out.

A CD player can be isolated and auditioned. I find that the best way to audition a CD player is to bring my headphone rig to the dealer. This way, I know what my headphones and my headphone amp sounds like and I am able to gauge the quality of the CD player. The caveat to that is that the headphone rig has to be of good enough quality to resolve the differences among various CD players.

The only way is at home, in your system. Generally a good dealer will loan you a piece for a Sunday or a weekday night to take home. When I bought my first high-end player, I couldn't tell any difference in the dealers' rooms. When a smart dealer loaned me a PS Audio Lambda and PS Audio DAC it became very clear and I bought it.

Try to listen in a quiet, relaxed setting. Some A-B is appropriate, but also listen for long stretches.

Dave

Great answers!

You could also just get it over with the 'objective' way and read the specs, whip out your cash, and go home happy in the knowledge of a job well done.

Or not.

All of the previous answers have been great, and I'll add an odd one that if you try it may help more quickly find some smaller differences:

Start listening in the very near field. Like, an inch from a driver - at a sane volume level, of course. See if, at those insanely close distances, you can identify a difference, especially in terms of grain or noise or 'hash', and then keep moving farther and farther away, until you get to a distance that you would normally listen at.

If you 'train' yourself to hear those differences up close, that can sometimes more quickly allow you to home in on the differences from your listening seat.

This won't reveal all the differences, of course, but can help clue you in on a few performance parameters that may make a difference to you over time that you may miss with a "quick" audition; and it's meant more to get at simple flaws like noisiness.

Cheers!

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Start listening in the very near field. Like, an inch from a driver ...

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If you 'train' yourself to hear those differences up close, that can sometimes more quickly allow you to home in on the differences from your listening seat.

Just don't be surprised if the sales staff keep a safe distance between you and the door.