Where do you live? The first thing to figure out is whether you like darker or lighter roasts. If you like darker roasts, go to Peet's, because they offer a variety of classic coffee types. For lighter ones, try Coffee Bean & Tea Leaf. You may have local independent stores that are good, too, but those two national chains should work anywhere in the country.
Try to get fresh coffee that's been roasted less than a week ago, because old coffee has muted flavors, and differences won't be as obvious. Coffee can be decent up to a month after roasting, but the fresher, the better.