First things first. What is the intended usage? Music or Movies? If Movies, Are you planning to setup a HT with 5.1 or are you just looking at a 2.1?What is your budget?
When it comes to speakers its a matter of perception. So my perception is the s606 is more musical than the s406 and they are much better speakers too. The side mounted sub-woofer on the s606 is just passable for a SW. If you are thinking of picking up the s606 just because they have a built-in SW think about it, If you like good bass then anyday a dedicated SW will do a better job.
So when you look at mainstream speaker job (highs and mids) the s606 is way better than the s406 in both movies and music.
When you look at SW duty anyday a dedicated SW will be better than a integrated SW.
Hope this helps!
Cheers,
Raj.