Most of the components in my system have never been reviewed by either a paper publication or an on-line publication or were reviewed long after I had already made my purchase. There are far too many components that sound really bad, based on my particular taste, that get rave reviews for me to treat reviews as a reliable source of information on sound. Reviews can provide other useful information--such as features, connection/compatibility with other gear, potential problem areas to look out for--but sound quality is far to personal for reviews to be of much help. I also audition the gear in my own system if that is at all practical.
The one notable exception to actually auditioning gear was my choice of turntable/tonearm. It was not practical for me to audition different tables in my own system so I relied on the advice of a friend who is in the industry that has heard practically everything out there. He strongly recommended the Basis Debut table and Vector tonearm that I ended up purchasing (his company has no association with these products).
The other sort of exception is my Naim NDS/Uniti music server. While I did get to hear it in another system, my choice of that server took into consideration the fact that I already owned the expensive power supply needed for the NDS (I already owned a Naim 555 CD player); I could not pass up the "savings."
Jond, I agree about the remarkable sound of Deja Vu gear. That store sells a lot of expensive gear that has been turned in in trade for their house brand of gear. A lot of times the trade-in item is so much more expensive than the Deja Vu gear that the buyer wants that the store ends up actually paying out cash or credit for the trade (the used gear is sold on audiogon or ebay).
Papermill, I agree that shows are a great way to be at least introduced to potential candidates. While one should not write off something that sounds bad at a show, something that sounds good obviously has the potential to also sound good in one's system. There really is no practical way to hear a wide range of candidates in a short enough time span to make meaningful comparisons outside of a show.