Depends on the brand and your location. In Chicago and New York for example, you can go to the Nokia stores and try out phones. They also have experience centers around the country where you can try, but not buy different phones.
Other than that, if you are in an urban area, you can find some shops in most China Towns who will let you turn a phone on or at least take it out of the box and see its build quality and what not.
If you aren't in an urban area, you may be out of luck however and will have to trust reviews