In the UK the only shop I can think of that sells samples is Les Senteurs. Le Labo sell samples of their fragrances on their website. NKD Man sell samples of some of the Etat Libre d'Orange (ELDO) line. In Europe there is Ausliebezumduft and Essenza Nobile who both offer an excellent sample service at reasonable cost. These mostly sell niche brands as does Luckyscent and Perfumeshoppe in USA and Canada respectively. You could also try Crystal Flacon and Scent Splits where there are some of us who offer decants/samples of both designer and niche and there are some UK members on those sites. Other than that it's stores I use in person such as House Of Fraser, Harvey Nics, Selfridges and Space NK.
EDIT: Just noticed Foustie's post. Yes there's Scent And Sensibility too. Forgot about that one.