Well, I know this is not a very popular choice around here at all, but I highly recommend that you give Ultimate Ears 600 a try. I've been a fan of the SE530 for a long time and I found UE600 to be almost as good as SE530 in most ways for a whole lot less money. I really can't think of anything significant that you might loose by moving from SE530 to UE600, except perhaps for somewhat higher levels of distortion at high volumes, which shouldn't be noticeable in actual listening anyway. In fact, I believe that UE600 is the better choice because it sounds perfectly coherent, thanks to the single driver design, while SE530 does not, especially if you don't get a good fit. With the Shures, the bass can sound detached from the mids and highs with an odd mid bass hump if the fit is not right, among other issues, like odd grain/lack of clarity in the sound that shouldn't be there. I found such odd "artefacts" if you will with almost all, if not all multi driver IEMs. UE600 is completely free of these issues while maintaining a level of sound quality that is, at least to my ears, remarkably close to that of the SE530 and other triple drivers I tried, especially considering its price.
Regarding Etymotic ER4: They used to be my favorite IEMs once actually, but not for long. In the end, I learned to accept that their bass response is really rather weak to be considered neutral and accurate, the highs in the P version are noticeably grainy and harsh (S version has very good treble though) and the soundstage and dynamic range are quite limited. Perhaps, with good amplification which I didn't have at the time, my experience of the Etys would've been different, as people say they can improve significantly with better amps and sources and I believe them. The mids on the ER4 were really nice though - natural, even and very detailed. Still, I preferred the SE530 among other IEMs like JVC FX700 and Hifiman RE0, RE262 and RE272 over the ER4 by quite a margin. Now with the UE600, I feel that balanced armature technology has advanced far enough to allow a single driver BA IEM to perform in the ballpark of 2 or even 3+ driver IEMs, at least unamped (but UE600 does improve with better sources and amps sounding noticeably better out of my HM-601 and Fiio E11 than, say, straight out of my Sansa Clip or Sony Walkman.)
Edited by Pianist - 3/20/12 at 6:27pm