Habu,..when looking in a retail store, take control of the set you are looking at and reset the levels to how you like. Remember, you are in a very brightly lit sotre, and your home will probably not be that lightly lit.
Retail stores turn up brighness and mess with the settings so the set will get a lot of attention, especially if they need or want to move it.
Between DLP and LCD, I would go with LCD right now. DLP has potential, but it is suffering some early adoption problems.
What kind of space limitation do you have? I ask, because $5K will buy a pretty nice Pioneer Elite rear projection set, which would probably have a better picture than the LCD one would.
What size are you looking at?