Earphones / Headphones: Where to try, what to buy?

Incidentally I went into a B&O store yesterday and tried all their headphones. H8s really are a thing of beauty and 50 quid off in the sale. I listened to them corded to my phone and it's quite nice, then Bluetooth with ANC and its glorious. Such creamy bass. Also walked around (and ran and jumped because if you're going to test, test) and didn't hear any reverb from footsteps that I'd read about in reviews. Also no screechy feedback or hiss I'd also read about. My only gripe is that playing music from my phone (using the Music app on iPhone 6) I can't get the volume deafeningly loud. It's not something I would do all the time but every now and then I want to feel discomfort due to high volume. I wonder if I plug it into an amp and turned the dial up I would get the effect I want? Or is there a cap/limiter? One last thing that meant I didn't buy them on the spot: there seemed to be quite a lot of spill. I was playing music and could hear quite loudly when I took the phones off and put them on the mannequin head. If I was on a train or plane and playing at that volume I'd be embarrassed so to avoid it I'd turn it down but then I wouldn't be enjoying the music as much. Are there any on-ear designs that are discreet from a fellow passengers perspective?