Everybody says they do a set-up. In fact, it's so overused it's like the cliches baseball players use in every interview (sorry, watched Bull Durham last night). I once ordered an upright bass straight from the distributor (bypassing a music store) and they went on and on about how it was all set up in the factory. That's great, however, when I got it I had to put the sound post in, figure out where the heck the bridge went, and put on the strings. How do you "set it up" and then take apart all the stuff you just set up?
The set-up issue is one of the most misunderstood aspects of buying an instrument. Back when I worked at a music store, the most common thing I heard from people looking to purchase a fairly serious guitar (Am. Strat, etc) was "I go by how the neck feels". Set-up has a HUGE impact on that, yet every time I walk into Guitar Center to try out a bass amp, I can't find a single bass on the wall with less than three times my normal string height. If they actually tended to the set-ups they would sell a whole lot more.
Also, every review I read on here for inexpensive basses includes a ton of replies like "I ordered one the other day and it buzzed a little bit, so I returned it and bought a [insert horribly cheap bass here] and it didn't buzz at all. I'm totally happy with the new one. DON'T WASTE YOUR MONEY!" It sounds like the action was set a little too low for the player, that's all. A few turns of an allen wrench could have taken care of that.
Set-up is more important that most realize, and it's not too hard to do a basic job. Plus, your bass will change as the weather changes, so expect to tweak it a couple times a year at the least. If you don't want to do it yourself, find a qualified person, but that could get expensive.
There is only one store in my area that I shop at. Since I know all the guys that work there, they let me set-up the instruments to my liking while I'm trying them out. How can you decide if you like how it feels if it's all outta whack???