From the perspective of a psychologist who is somewhat new to high-end audio, I have the following to offer:
1. Take your time to choose and keep organized. At least three to four months allows for good research and plenty of time to listen to things. It is also fun to search for various components and learn about the different nuances of each. As buying hi-end equipment is a big investment and there is a lot of equipment out there to choose from, take notes or do some sort of rating system. Personally, I rate on themes such as "emotional impact" or "goose bumps" in addition to "soundstage", "transparency", and "musicality."
2. Audition speakers (or other components) in your home for as long as possible. Factors such as your mood, time of day, or even being hungry can influence your perception at any given time. Having the component in your home for several days or more allows you get to know the component in the confines of your room and equipment, which is likely much different from the sellers. If you fall in love with a piece, its time to buy, unless you love two of the contenders.
3. I f there is a tie between two or more components, try to audition them blind - if possible. This is difficult to do, but worth the hassle, and can only work if you are choosing between several components at the same store (e.g., different models of a CD player) or amongst various friends components. Not knowing which one of the two or three contending components that you are hearing removes any bias that you might have formed. (Of course, someone will need to tell you later which was component A, B or C.) In essence this makes your choice cleaner and based on your reaction only to the sound. It is easy to become influenced by "expert" salespersons, a friends opinion, or some other factor.
4. Someone else said this (12-14-01: Justlisten), and I agree - don't listen to salespersons opinions about equipment that they don't sell. I've experienced too many salespersons subtly or blatantly putting down perfectly good equipment. (E.g., one guy told me that he was "embarrassed" by the fact that had previously sold B & W speakers (which I mentioned that I had auditioned). This can be a manipulative strategy designed to create doubt about the other product.) The best salespersons have just let me listen and decide for myself, or may discuss the qualities of their product. If a salesperson tells you something "bad' about the competitors equipment, it's probably best to assume that s/he doesn't really have your best interest in mind.
5. Use several different types of music during auditions, and use the same pieces for each audition. Select amongst songs that you know very well. I like to use instrumental jazz, good male and female vocalists, classical, and rock and roll. This helps to capture the range, dynamics, and emotional impact of the component that your listening to. Ultimately, in my opinion, it is our emotional response to the music reproduced by the various components that makes buying audio equipment worthwhile.