All three are excellent, but the Roxannes are like a full-size headphone experience (reminds me of the LCD2.2) and for some reason, I find myself reaching for the Velvets much more than the SE846 (soundstage maybe). The bass is very good on all three as well. If I had to give one up it would be the SE846.
I had the SE846 and to be honest I sold it quicker than any other hp or IEM I have ever had.