I've tried both. Mary Kay was one of my starter brands, and I would put their shadows on par with Clinique. A lot of their neutral and no/low shimmer shadows remind me of Bobbi Brown shadows. And I love Mary Kay's clear lipgloss. They have some really nice lip colors, blushes, and their face powder is pretty nice too. And skincare. Mary Kay's a really decent brand.
I ordered some Arbonne shadows for my mom, and I was surprised at how pretty they were and the color pay-off. I ordered Heavenly (sparkling champagne) and Inkling (navy blue). I actually wanted to swipe them from her, but decided that wouldn't be right. I plan to order more actually, once (if) these MAC collections slow down. I also like Arbonne's lipsticks (the texture is really smooth) and my mom likes the mascara a lot.