You occasionally see that sort of thing at the Knife Forum, and more rarely at Fred's Cutlery Forum (on Foodie Forums). They're usually limited to knives which are just out on the market, though.
As far as I know, no knife store maintains a library of loaners, but you can certainly ask. It seems to me that most of the obvious pitfalls from the seller's side could be resolved with a deposit and a fee; but perhaps not. Perhaps it's not worth the inevitable squabbles over who did what damage, knives damaged and lost in shipment, and deciding what is and what is not allowable by the borrower.
As to the last, I wouldn't feel comfortable about really knowing a knife until I've gone all the way through the cycle of sharpening, using (including maintaing) until dull, and sharpening again.
The problems multiply with a group of people who aren't themselves engaged in knife sales as they add the expense of buying new knives at retail (pardon my language) and try to figure out a price schedule which is fair to those who buy the original collection and those who only want to sample.
Unfortunately, many of the most interesting knives, especially the Japanese, are availble in only a few brick and mortar stores anywhere in North America -- if at all. So (as you've already figured out) they're not only not available for a meaningful trial, you can't even do the "wave them around" test.
Your best bet is finding people whom you feel you can trust and using their recommendations in order to narrow your choices down to a fairly select group of knives which would be suitable; then choosing based on whatever personal criteria was left over.
There's an underlying truth there. That is that not only is there no single best knife for everyone, there's no single best knife for you either. Once you've winnowed the selections down to knives which meet your standards equally well... Well, there you are.
A few sellers are very good at advice; Mark at Chef's Knives To Go is very good; Epicurean Edge and Japanese Knife Imports, if you're particularly interested in Japanese knives; also Paul's Finest if you're Canadian.
Figuring out whom to trust in internet forums can be a challenge. Look for people who seem more interested in what you're about than in having you validate their own choices. To my mind, "I bought X and like it so you should too" is not much of a recommendation without a lot more information. Also, immediately discount anyone who claims that although they only maintain their knives on steels and never properly sharpen them, they (the knives) remain "razor sharp" more or less indefinitely. In fact, the term "razor sharp" is often a giveaway.
It's by no means a fool proof system. A few years ago, after doing a lot of research and soliciting a lot of very good advice, I bought four fairly expensive knives (Hiromoto AS) and ended up not liking them very much at all. There wasn't much wrong with the advice either. They just turned up -- for a lot of reasons -- not to be as good for us as the knives we already had.
But my last purchase (Konosuke HD) which was based almost entirely on the buzz and Jon Broida's (JKI) endorsement was eminently successful.
Fortunately there's a backstop for the hit or miss nature for the whole messy process, ebay. While it's messier and probably more expensive than your idea of a library/club would be, at least, If you buy something you don't like you can move it along and recoup some of your money. Better still, it's entirely at your convenience and you get to make all the rules.
BDL
If I can score a Devin Thomas or Konosuke next year, though, well...then everyone will want to be my friend!
