I guess it depends how much you pay for your MP3 player, but my Sony NWE107 came with some terrible headphones. MX500 were a good upgrade from them. They don't have the detail of EX71, but they are well balanced with good mids and nice (if a little underplayed highs), whereas I found the EX71 to have badly recessed (nearly missing completely) mids, and sharp highs. EX71 of course have more bass being canalphones, but it's uncontrolled.
IMO MX500 produce a more accurate, natural and pleasing sound, far closer to top end Sennheiser cans, or my hi-fi. All just opinions though.