I own both the Etymotic ER4-XR (having owned 2 older pairs of Etys before), and the Shure SE535.
Sound quality wise, without question the ER4-XR sounded better. More detail, more realistic, and has satisfyingly tight bass. Some say they are light on bass but I think they are accurate if slightly on the lean side if you listen to electronica . Bass is the only area the SE535 does better IMO. However the Shure's treble are too recessed for my taste, and I am someone who is sensitive to bright sounding gears.
I bought the SE535 as a temporary replacement when I had to send the ER4-XR to America for repair. FYI if you live outside the US it is not worth sending them in for out-of-warranty service - the shipping cost + duty when they returned to me in the UK was A LOT MORE than the actual repair cost. Sigh.
One good thing I have to say about the Shure though is their fit and comfort. Once you learn how to insert them and loop the cable over and behind your ears they disappeared. With the Etymotic the cable causes microphonic noise when they rub against you while you are on the move, and that is very annoying. So if I were out and on the move I will grab the SE535 every time.
Edit: some people online suggested looping the Etymotic cable up and behind your ear, Shure style, to cure the microphonic noise.
Don't do it! Over time you will break the connection in the cable where you bend the cable around your ear. That was what prompted me to send it back to America for out-of-warranty service... should have just bought a new cable instead.