Do your research. Go try them at some headphone meet. I don't know what else to say. Its basically flavor of the month. Some people like W3 over W4. I think the SM3 are interesting because I read a ton of reviews about them and a lot of people have a hard time describing them. I never heard them.
UM3X has a forward presentation. I think its purposely designed that way for stage monitoring. Sensitivity is off the scale - lowest setting on my iphone 3GS drives them too loud. I bought an amp to deamplify the UM3X.
Have you tried turning on Sound Check? I find that it makes the overall volume a little lower (it does on my iPod Classic and iPhone 4).