Size 11 boot from a street 9.5? That sounds really wrong. I'm a 9.5 street, and my current boot is 10.
It sounds like you have the wrong idea about boot fitment and comfort.
The boot shouldn't be super comfortable out of the box. They need to fit snugly at first because after you break them in, they will loosen up and the liner will form to your feet shape.
Do you have heel lift in your current boot? Heel lift is bad... very bad.
You actually can order boots online. Just get ready to return them a few times (shipping costs if no return sticker is provided).