If I were you I would do some research on the web to learn more about pickups first. Then I would definitely buy online. Seymour Duncan and Dimarzio seem to have a huge following and their websites are excellent resources explaining the different models.
The Seymour Duncan website has an excellent sound page where you can here samples of ALL their pickups and on different types of guitars. They may not test them on the guitar you have but they use the same guitar for all the samples of a particular guitar type. It's a special made guitar with a quick change pickguard so they can change pickups in LITERALLY 3 seconds. There's even a video showing them do it. The point is, you can trust that the sounds you hear are a true comparison with everything else being equal. The differences are sometimes very subtle but it will give you a good idea.