Hmm, very difficult to find any audiophile shops in Madurai. There are few individuals who deal with hi-end (read denon, onkyo, yamaha) av products, but as a dedicated shop, atleast I have never seen.
Similar to Burma Bazaar at Chennai, there is scott road at Madurai, where you will get imported electronics (in grey) and price will be at par with Chennai.
Have a nice time at Madurai. Nice place to have variety of south indian food items (both Vegetarian and non-Vegetarian).