Hi - to clarify, I am not an audiophile by any means, but I will do my best to try to describe my preference and how I went about choosing between SE535 and W4/W4R.
With regards to where you can test them side by side, I don't know if there's a place that you can hear both of these earphones simultaneously, but I do know that the airport terminal store in JFK (found at many of the terminals) called InMotion Entertainment, they have the SE535s for demo that you can try on. Unfortunately they do not carry the Westone 4Rs. You can check below to see if the terminal you are going to have the stores. Unfortunately I am not aware of a store that allows you to demo both units in the NYC.
Having said that, I can tell you that I have owned SE535, SE215, Westone 4, Westone 4R and Westone 1 (in those particular order) and give you my impression of each of the earphones.
I really liked the SE535s because of the richness of the sound (the low-end bass is more pronounced when compared to the Westones). I also really liked the SE215s as it had similar sound signatures as the SE535s (but with a bit less clarity). The cables on the Shure units are thick and seem quite durable. However when I changed to the iPhone compatible cable, it is built using simple rubber covered wire and is a lot more flimsy compared to the cables shipped with the headphone. The SE215s also had quality control issues (one of the ear bud started going in and out, I returned it).
In terms of Westone 4/4R, I find them sounding very similar, and surprisingly the Westone 1 which is a $99-129 price point unit, also sounded similar to me when compared to the Westone 4s (I use the W1 for exercise). After comparing the W4 to the SE535s side by side, I found the SE535s more "fun" to listen to as it had more bass and it seemed like it had a wider range of sound both on the low and high-end. However, at the end, I returned the SE535s (thanks to Amex return protection) and decided to keep the Westone 4 because I found the mid-range sound a lot more clear and overall sounded cleaner to me. The cable on the Westones are thinner, but it is coated with aramid fiber which is supposed to have really strong wear/tear properties. I have had no issues with the cables so far. I ended up purchasing W4R 6 months later because of the exchangeable cables and have been using their Epic cable with mic. I do get the issue with echoing when speaking with someone on my iPhone 4S but really prefer having the button to control the music.
Hope this helps.