In the test I used:
- Sennheiser CX300 in-ear phones
- more ears (not just mine)
- different songs with different rhythms
- EQ - on normal (with MegaBass and other enhancements Sony would definitely win)
Why - only Sennheiser CX300 ?
Well one thing is sure, the SonyErcisson in-ear phones are better (more profound low frequencies) than Nokia XpressMusic.
In order to test the true capabilities I had to find 2, very powerful, HiFi - in-ear phones.

Participants :
Nokia 5700 XpressMusic vs SonyEricsson S500i
Nokia 5700 XpressMusic vs SonyEricsson W660 Walkman™
Nokia 5700 XpressMusic vs SonyEricsson W960 Walkman™

Test no 1:

Nokia 5700 vs SonyErcisson S500i
Nokia has the midrange frequencies just a little more powerful than the song should be.
SonyEricsson sound is a little screwed.. To put an accent on lower frequency, medium and high - the took out the range between mid and high sounds (my guess is that the phone isn’t capable to reproduce like Nokia or other music player the range between 6 and 10khz).

Test no 2:

Nokia 5700 XpressMusic vs W660 Walkman™
Both phones are doing a fine job in reproducing all frequencies. Thow there is a slight difference between them : Nokia has more profound low frequencies than W660. And if I turned the volume as high as I could - Nokia had the advantage here. So if you work on a construction site, I would definitely recommend Nokia 5700 to cover the noise.

Test no 3:

Nokia 5700 XpressMusic vs W960 Walkman™
Unlike W660, W960 has a slight better and more equal sound in compare with Nokia 5700. You will still feel the better and more profound low frequencies. Also 5700 is older than W960 - same story with all other SonyErcisson phones.

Sound Conclusion.
Nokia has more profound low frequencies unlike SonyEricsson phones that need software “tunning”

(probably that was the whole SonyEricsson idea, to cripple the gadgets a little for highlighting the MegaBass option). How should I explain better - let’s say you have a really capable subwoover - Nokia would reproduce the low frequency near 40hz and SonyEricsson near 60hz - this is hypothetical speaking.
Nokia is more powerful in loudness - considerably more powerful.

Speakers:
The 2 speakers really are something.
If all the SonyEricsson are louder than Nokia 5700 - the quality was sacrificed. Unlike Nokia that will reproduce the sound exactly like it should be.

Software:
In all test the result was the same. SonyEricsson has better, faster and more responsive software than Symbian S60 3rd Ed Nokia 5700.
I have to take out also a bug. I don’t know which has the bug (Nokia or SonyEricsson) but if you take a song and you stop it at 1:12s on both phones - you will see that, in the song there’s a 2second difference. I don’t know yet which one of them has the delayed second counter.

Conclusion.
People should stop the “BUZZ” about “walkman”. “Walkman” is JUST a trademark. It doesn’t mean that if is a Walkman then the mobile phone is comparable with an iPod, iRiver, Cowon or more PMPs (portable media player).
Nokia 5700 XpressMusic vs SonyEricsson S500i
Nokia 5700 XpressMusic vs SonyEricsson W660 Walkman™
Nokia 5700 XpressMusic vs SonyEricsson E960 Walkman™
If you are looking for amobile phone that sounds great with loudspeakers - go for Nokia 5700.
If you are looking for a “lag”-less, responsive, rich with options and animations software - go for SonyEricsson (doesn’t matter which kind, Symbian is really horrible…)
If you work in construction industry - go for Nokia (might help you with the noise) - or buy noise canceling earphones.
If you are looking for something to listen to your music - go for a dedicated music player, and leave the phones to do what they know the best - CALL.
Overall if I were to chose between all the phones in the test, I will be very tempted to buy SonyEricsson for it’s perfect software. The rest are just small details.