I wouldnt say SQ is sacrificed at all, there just tonally different. I like the sound of open-air headphones, there acoustically transparent design gives a nice airy feel to the sound due to ambient noise spilling in, unfortunately bass will leak with this design, and in "most" cases bass response is usually sacrificed (relative to price).
In the case of closed back headphones the sound quality is usually very clear and detailed due to no audio "leakage" to the outside world, this means bass response is usually very good. But you don’t tend to get that nice "airy" quality of the sound which tends to provide more realism to the audio sound track.
HighlandeR, I think its simply because your haven’t tried out any decent closed back cans to compare then to your mates hd's, the 595's are great cans but that’s not just down to its open back design, Senn tend to uses some awesome transducers!
Beyerdynamic's DT770 closed backs prove my point, I've never heard such clinically accurate high and mid range reproduction in a set of headphones before bar none!