(English is my third language, so I won't be able to express myself as clearly as I would like to, but I will do my best)
(Edited: I should mention that after getting the HD800 and listening to it for a few hours I barely listened to it for a week or so because I didn't think there were any fun. I've listened to them a lot these last few weeks though. I thought the HE-500 was a lot better the first few hours. )
I don't know how you feel about these headphones, but I barely touched my HD650 after getting the HE-500, in fact, I gave them (HD650) to a friend after 2 weeks.
Please do keep in mind that preferences play a big role here. Apparently I like bright headphones with lots of detail...
Firstly, the low-end on the HE-500 is very good and has a lot of impact, but after listening to the HD800, I thought that the HE-500 had a little but too much of it actually. I thought that it over-took the mids a little too much.
The mids sounds somewhat more "realistic" on the HE-500, but after A/B'ing them for 3 weeks, I just preferred the "closeness" of the HD800. What I mean by that is that I felt closer to the singer with the Senns. I sold my HE-500 two hours ago, but still have them here with me, and I keep A/B'ing them, and every time I keep coming back to the HD800. The HE-500 are just lacking some detail. The HE-500 sound quite distant compared to the HD800.
When it comes to the treble, in my mind, there is no question, the HD800 provides a lot more detail than the HE-500 and I love that extra high-end that they give me. I should mention though, that the sibilance can get annoying when the recordings aren't well mastered.
Of course, it depends on what you are listening to. When it comes to rap or house music, the HE-500 is a better choice since it has that extra bass impact. For me, since I mostly listen to acoustic music, (Nils Lofgren, jack Johnson, Jeff Buckley, Porcupine Tree, Ray LaMontagne... etc) the HD800 is a clear winner.
Also, and this is a huge plus for me, the HD800 are a lot more comfortable than the HE-500. It really feels like I'm putting a little piece of heaven on my head when I put them on after listening to the HE-500. (I've tried both sets of pads) They are lighter and are a lot more comfortable than the HE-500.
Sorry for not being able to provide you with a better explanation. I'm neither an audiophile or an english speaking person.
(I'm pretty drunk right now, so please forgive any mistakes I made)