The Per Marquette and 844 and many other large Legacy locos do sound fantastic.
But Piperarcher, you asked specifically for prices around $500. One of those big Legacy locos might be had for $500 used - but it will be well used. Within your price range, new, you need to avoid Legacy and go for something conventional with the most recent Railsounds. The conventional Atlantic, which is scale and quite a good model, can be had for below $500 if you shop around (I got mine for around $400-$450) and it sounds very good. The 0-4-0 Shifter also is surprisingly good as to sound. You might be able find the scale conventional Mikado (list price $750) somewhere for under $600, but I can't see finding one for under $500 for new. I don't recommend the Mogul: mine had so-so sound (tender was just too small for a good speaker, I guess) and didn't run that smoothly.