I have both and find the HA-S400 isn't even worth using with the S500 as an option. The S400 is fine on its own, though, and most definitely a deal for the price. I've read of some folks preferring the signature of the 400, too, but they certainly don't strike my ears that way.
On a separate note, I have to say I don't really understand the expectation that twice the cost should equal twice the sound quality. Besides the fact that improvements in sound quality are often incremental, and price-to-performance ratios are rarely perfectly linear...If the more expensive headphone sounds better, and it still falls within one's acceptable budget, then why spend less for an inferior product?