Both are pretty much on par in my opinion. I currently own the 5800 XpressMusic and it has a wealth of features, including an 8 band equaliser, stereo widening and bass boost. The Sony Ericsson Walkman series also has all of these options (although I think the equaliser lacks as many bands). It's all down to personal prefference at the end of the day.
It probably depends on what models you are comparing. Music-wise both XpressMusic and Walkman series sounds really great.
Generally Sony Walkman Phones have a very good quality bass sound on their earphones but the problem is they have a proprietary headphone connection jack. While most Nokia Xpress Music Phones have a 3.5 mm jack so you can use any headphones like SkullCandy
off course, i would vote and prefer Nokia XpressMusic phones over SE. My earlier phones were also from the family of Nokia. My first one was Nokia 1108, then Nokia 6500 slider and lastly i am planning to buy Nokia 5800 very soon.. so SE bye bye........ Welcome Nokia