Try everything, from $10-5,000 headphones -- this is how you learn. If the shop gives you any attitude about trying expensive stuff, don't give them your business.

Judge the vibe of the store -- do they act snarky or judge you based on your appearance, or are they happy to let you try things and answer questions for you?

If they have some of the more popular headphones (Senn's HD6__ series, HD800, Audeze's LCD-2, even cheaper headphones like the M50x), try them. Doesn't matter if you like them or not or if you can afford them, it gives you a basic frame of reference that you can use to guide your future purchases.

You won't be able to get a full grasp of a headphone based on a short audition, but make mental notes about what you like and dislike. More often than not, some of the headphones you like most will share some aspects of a certain sound signature, which is extremely valuable for your own learning.

Try not to evaluate headphones solely on their bass quantity (or lack thereof) -- this is the biggest adjustment that beginners have to make when coming from consumer headsets.

Don't feel pressured to buy expensive headphones right off the bat. Starting with cheaper headphones and working your way up is fine, and it gives you a greater sense of appreciation once you do move on to more expensive equipment.