If you want to "try a few out," your best bet is a dealer. Then again, I'm not sure how willing many dealers are to let you take a motorcycle for a test ride. They're a bit more cautious than with cars.
As for buying one, again, I'd probably go to a dealer, since I'm not mechanically-inclined enough to be able to check one out for myself. At least with the dealer, you have some recourse if the thing falls apart. If you do buy privately, definitely have someone you can trust check the thing out beforehand.
If I had the choice, I'd of course buy new, since used is even more iffy with motorcycles than with cars. But it really depends on what you can afford. My last two bikes were bought used through a dealer, and both have worked out very well.