I think they are comparable. Meat is the first ingredient for both brands. Both are part of my cat's menu because of the absence of corn, soy and wheat products. There was a sale at the major supermarket in my area and Sheba was priced at a significant discount, so I loaded up on it.
They pretty similar in quality. I use them both in my rotation along with some more expensive foods like Weruva and Nutro. One important thing to know is that the Sheba cuts version remains grain free, while in Fancy Feast their grilled, chunky, sliced, and gray lovers have wheat gluten and sometimes corn starch. My cats don't love the pate texture. So I use only the Classics of Fancy Feast and I use the Sheba Cuts.
I agree with @TheGreyStalker and @NewYork1303; they are very similar in quality. I feed both Fancy Feast Classics and Sheba Pates (the "Cuts" are also grain-free, but are higher in carbs), and stock up whenever either brand is on sale.
For the price, though, I don't think you can beat the quality of these two brands.