I have the SE S710a. I like it for the most part (the OS is very intuitive, and most needed features require minimal steps), but would probably change some things about it if I could, including:
-Make it a tad thinner and lighter
-Put a faster processor in it (little over 1 second delay in key press to action)
-Drop the proprietary headphone jack
-Make the microphone less sensitive (my girlfriend always complains of horrible piercing noises, whether I'm running water or setting down some change)
-Be able to watch movies in wide-screen mode. It has such a BEAUTIFUL SCREEN (2.3", 320x240 px), and can play movies, why not take advantage of it? (People have fit 90min movies on it, just not wide-screen).
Also remember the S710 takes Memory Stick Duo cards, not Pro Duo, so you're limited to 128mb for songs/pics/movies.
However, I'd totally go with the S710 before the ROKR. I just haven't heard many good things about it. I'd look at some of Sony Ericsson's other phones if you don't want the S710. Unfortunately, some of their best phones only work on European networks.