Sephora is a hayday for all of those of us who love perfume, makeup and skincare. They carry all the best lines (well, most of them anyway...) and I love the non-pressure sales environment. You're invited to try everything, and they make it easy and comforatble to do so.
Sephora also offers makeup application for free, which is fun to take advantage of if you plan on buying a product or two. I personally wouldn't do it unless I had intentions of really buying something, since you are taking up someone's time.
Their return policy is easy and no-fuss. I've used a product once or twice, hated it, and gotten no guff while returning it.