Looks like you've got a pretty discerning ear there, quite a bit more than mine I'll bet.
I see what you mean about the KSC's, the sound is all around you on them, though comparing the SQ with the ESW-9's is a bit on the unfair side. I still kinda like the presentation on the things, sound seems pretty bright to me, but it's been quite a while since I gave any of my equipment a side-by-side comparison, admittedly. But I think I have an idea on what the Sonys sound like, so thanks for the description.
As far as an amateur opinion goes, I think the ESW's are pretty mid-centric. The vocals are nice and lush, which is what I was going for, and the bass is fairly warm without being overpowering (I think I'm just sensitive to bass), maybe with a few bloat problems here and there (maybe it's my source). Highs... well, I'd like a bit more sparkle in my highs, but I still like the quality of them on these phones regardless. But yeah... the mids. They're awesome.
As far as PSP games go, well if you don't mind imports, and things off the beaten path at that...
Last Ranker - A very interesting experiment in fighting game meets RPG-style gameplay, weak point is the story and the fact that you can settle on one strategy most of the game despite there being so many. Music by Yoko Shimomura, theme song by Uverworld, from the maker of Etrian Odyssey.
Grand Knights History - A versus RPG, I'm playing it right now. Raise a bunch of characters offline, then bring them online and fight for your country. American version rumored to hit in February. Music by Hitoshi Sakimoto, from the makers of Odin Sphere and Muramasa: The Spirit Blade.
7th Dragon 2020 - Okay, this isn't out yet, but I'm preordering it since I liked the original so much, and the limited edition comes with a set of stylized canalphones (though how good they end up being is anyone's guess). Same guys who did Etrian Odyssey, music by Yuzo Koshiro, theme song by sasakure.UK.
Idolmaster SP - Don't need to say anything more, do I? ^^
Other than that, I will always swear by Final Fantasy Tactics - one of my favorite games of all time. The PSP remake may suffer from some loading problems, though.
You might notice that all of the RPGs up there have a heavy skill customization element to them (and good music ^^).