A few things I look for:
As you said, lenient return policy.
When researching a piece of equipment, I look for the bad comments, if you can find them. They tend to be a bit more honest. There are a few pieces/brands that that have no bad comments that I can find- Sutherland phono stages are a good example.
Look at the context too. Someone who bought a Grado cartridge did complains that it hums? That's not a cartridge fault. That's someone that doesn't understand why this can happen or what turntables will be incompatible. Twenty years ago, this was excusable. Not now. The info is out there and easily located.
In some instances, you may find better value with brands that sell factory direct. Zu, Audio by Van Alstine (AVA) and Decware come immediately to mind.