The thing I miss about university is that the bookstore had an excellent selection of pens that you could try in the store. But as I type that, I realize that I'm a scant few miles from a university.
As klyrs mentioned, university bookstores typically have a section for writing implements where one can try out pens. Additionally, every decent art supply store I've been in has had a section for pens with paper to try them out on. Art stores don't usually carry cheaper mass market office pens, but I do see some of the Staedtler, Pentel, and other pens recommended. I've even found pens I like that Jet Pens doesn't carry.