That depends entirely on the marketplace selling the theme.
A lot of companies present a demo of how their theme works. In those cases, it gives you a good idea of what a site will look like with the theme. Some companies go a step further and give you a login to a sandboxed version of their theme demo (meaning you can customize it and play out scenarios before you buy).
But running the theme on your own site before you buy it? There’s not currently anyone who lets you do that.
Why not?
Once you’ve downloaded a theme – assuming the theme authors are following GPL – you have a fully-functioning, licensed copy of that theme. Under the GPL you then have the right to use, modify, and redistribute that theme without restriction.
So if they gave you the theme to test out, you’d be held to the honor system to actually pay for it if you decided to use it. While you and I might be OK with that, there are a lot of people on the Internet who would abuse that and steal the themes outright.
In short, it’s far too risky for premium theme shops to let people test out themes on their own sites.
An Alternative
That said … a handful of shops (i.e. StudioPress) will offer refunds if you’re not completely satisfied with your purchase.