I've bought samples before from the Miller Harris sample set offer:
And also from Les Senteurs here in London:
Unfortunately the samples were not sprays, but the ordinary vial with a plastic dabber stick thingy. Would obviously be nicer if they made them in sprays.
Anyways, samples are certainly a good way of getting to know a number of fragrances, and to try out properly before buying a full bottle of anything.
Apart from buying samples, you can sometimes get them free just by asking in shops, and of course when purchasing you should always request them. By emailing companies you can get lots of free samples coming through the post, iincluding nice atomiser ones! (See the "getting free samples" thread -- it has lots of info).
It's also worth looking into miniature bottles. Some companies, like Parfumerie Generale for example, make available little miniature sprays (7ml) for sale on their websites:
That size is ideal for trying out a fragrance, and not too expensive.