If I bought a living room set but when I received it it was damaged and the store doesn't want to return my money can I sue?

You sue the store. A consumer is not obligated to accept damaged or nonconforming goods; such is a violation of the Uniform Commercial Code (which has been adopted in all states to some degree or another) and of the agreement of sale, which called for provision of the correct, undamaged merchandise in exchange for payment. Unfortunately, while your legal rights are clear, the only way to enforce them if the store will not voluntarily honor your rights is to bring a lawsuit. For smaller amounts (a few hundred dollars), you would be best off representing yourself in small claims court); for larger amounts (several thousand), you should retain an attorney.