When I was a kid in Manhattan, a trip to Giardinelli's (upper floors at 151 West 46th Street till it closed) was magical. You went up to the trombone floor in an old, hot, freight elevator and requested a make/model of instrument through the window. They handed it to you and you went to a practice room down the hall and tried it out. Repeat.
I spent many hours auditioning horns. Until the right one picked me. What I mean by that is that much like Olivanders Wand Shop in the Harry Potter books, where it's the wand that picks the wizard, buying a new horn will have an "Aha" moment. One instrument will stand out - blow easier, clearer, with the sound you want to have. It will make you smile. Back then, there was a lot variation within a brand for stock horns. These days, it can be about finding the right combination of custom parts (valve section, lead pipe, bell, tuning slide, slide). I have purchased several horns since then, and I still find that the ability to "A/B" different horns and setups is a critical part of my decision process.
There are still a few shops in the country that boldly carry a large inventory (dozens) and variety of brands (6+) and allow you to try horns as long they are open. In the past few years, I've been able to visit: The Horn Guys in Burbank, CA which has 2 rooms you can play in; Milano Music in Mesa, AZ will set you up in their warehouse (next door to the showroom) and, if you arrange it in advance, they might offer rides to/from the Phoenix airport; Dillon Music (a perfectly quixotic windowless brick mecca with no convenient parking in the oldest original township in NJ) has a few rooms. Dillon's also has a large selection of used instruments.
Bring your mouthpiece; etudes, excerpts and solos you know well; and, if possible, a friend. It helps to have a second set of ears. Alternately, record yourself (cell phone recording works fine) and playback as you go to make sure you're happy with what's happening on both sides of the bell.
Given what it costs for a new axe, and the importance of that instrument to my musical future, I cant imagine finding the right wand/horn a different way.
Andy's earliest creative writing was published in his high school literary magazine. There was a short stint of using suggestive variable names to flirt with his comp sci T.A. And was followed years later as a contributor to industry articles on innovation. He has no other authoring qualifications, but manages to get by.