It's going to depend on your tastes Mr.P - Both companies' phones have a different house sound - Sennheisers are generally dark in tone, the CX300's in particular I found to be quite bassy making them good for dance, rock, hip-hop and stuff like that. I haven't heard the SE110's but I own the 210's and 530's , they both share the same basic house sound - good midrange, slightly rolled and smooth treble and a clean if not very extended bass - the 530's of course improve on the 210's sound but basically the Shures are great for Jazz, Classical and acoustic music, basically anything that doesn't need tons of bass.
I've mentioned this before, I really hate the J-cord on the CX300's, I found it constantly pulling on my left ear and also microphonics are a bit of a problem too. The Shure's cable is a bit better in that it's a Y-cord so it pulls evenly on both ears, though it is a bit heavier and stiffer than the Sennheiser's, putting the cable over your ears helps reduce microphonics significantly.
Hope that this is of some help to you.