I don't know if they still do, but Fizik used to have neon orange loaner saddles at some shops that you could borrow to try. In addition, since lots of people go through this process, many of us have several spare saddles at home. The local cycling forum that I'm a part of has a thread on the forum for people to borrow, try, and hopefully buy used saddles from other members. Otherwise, as mentioned above I've heard good things about SQ Labs and Selle Anatomica and I believe they both have comprehensive return policies.