Headphones aren't really something I want to put on my head/ears unless I know exactly where they've been. Last I recall, many places won't even let you return them for similar reasons.
The demo stations you typically see are most likely sponsored by the manufacturer, which I can't imagine often cut deals of that nature with local stores. And with many of the headphones that people would want to try before they buy costing as much as they do, I can't imagine any small store opening bunch of their merchandise for that purpose.
That said, the closest I've seen (and believe me, I haven't looked) is the setup that Best Buy has. But they only have like 3 or 4 headphones to try. If you're just looking for comfort, this might be an option. If you're looking for sound quality, I wouldn't trust a demo unit. That stuff is fine tuned to sound awesome in the given environment, IMO.
"Check out these Bose speakers! Stand exactly in this spot. Now squat down a little bit.. A bit more... There! Doesn't that sound great?"
Not all, but some Guitar Centers have demos set up, according to the Internet, or they will let you try them out of the box. That information is old, though.
I miss J and R music world. They had a great headphone selection and would let you try them out. I don't know of any place that does that except Bestbuy but they usually only had the trendy crap to test.