I've not heard an Annie yet, only the Q701/K702 but I've owned the HiFiMans... I'll see if I can help a bit. Your choice should depend on a few basic factors. First being comfort - the Annie is going to be the lightest and most comfortable, while the HiFiMans will be noticeably heavier. If weight is any concern, the Annie will win there. Next, sound signature - the HE-400 is going to be the most 'fun' sounding and least neutral of the three...much more sparkle at the top and weightier bass, but you may miss a little in the midrange. The Annie and HE-500 are going to be more neutral overall, but the HE-500 will still share that signature planar bass the HE-400 has, just a more neutral variety. Then, consider amping needs - The HE-500 will be the most amp dependent, and require a good bit of power (absolute minimum 1W output power), whereas the Annie and HE-400 will be easier to drive, and could be usable right out of a good soundcard theoretically. I'd still recommend at least a Fiio, Schiit Magni or O2 for those, or a receiver if you already have one. As far as overall sound goes, they're all going to sound really good and each will have it's own strengths and weaknesses. I feel they are all more of a 'side-grade' of each other, but I'd place the most value on the HE-500 personally. Again, I've not heard the Annie and I'm going off my experience with the other AKGs I've heard plus what I've read of the Annie.
Thanks for the reply, I've mostly been looking at the He-400 (planar magnetic is very tempting) but was wondering if the He-500 would give an overall BETTER sound (clearer, more detailed, soundstage etc.) than the He-400. If so, would it be worth it to buy the He-500 and wait to save up some money for a dedicated amp like the Schiit Magni for it?