They're quite different overall, mainly due to their open/closed nature.
HE-500:
- open sound
- more air (more treble energy, but still very smooth and not aggressive. Possibly the "best" of all planars, short of the HE-6 and LCD-3)
- (very) lush midrange which gives an overall euphonic presentation
- mid-bass bump which increases impact. Bass is quite bloomy compared to the MDs.
- upper-mid bump which help giving that open sound (remember: the treble are smooth). Can be too much of a good thing on some setups (and for some people).
- no isolation (mini speakers)
- not so comfortable with velour pads for small heads (regardless of the weight, which, for, was never a concern). The pleather pads are more comfortable but sound terrible (again, IMO).
Mad Dogs:
- (slight) closed-in feeling. Still, very good with Alpha Pads considering its closed nature and isolation.
- good isolation
- smaller soundstage but very well layered and more focused. Regarding depth, I cannot really say.
- more linear/balanced, with a slightly dark tone.
- less treble
- less dynamics (PRaT)
- more linear bass
- "monitor"-like presentation (when the HE-500, by comparison, would be more a "live+tube" presentation).
- very comfy with the Alpha Pads (which fit on the 500s but add weight).
The 500s, IMO, are a better performer. But you must accept its almost tubish presentation (lushness + bloom = lacks a bit of center focus). They also are more expensive and have no isolation.
The MDs are the better value but comes with their own shortcomings.
Tough choice heh?!