Let's take a look...
The MUA is at the top and the Urban Decay below. Both palettes include ten (very similar) colours, some matte, some shimmery, designed to create the perfect smoky eye look. Both include a pencil. The Urban Decay version includes a tiny eye primer, which you need with Urban Decay shadows. You don't need to use the one they include, but I would say that you always need a primer with them to give you the best effect.
It's clear immediately that the Urban Decay is the more expensive product, it has a mirror and a really handy zip case. Looking at the shadows themselves however, there's not much in the quality.
The swatches above are from the MUA Smokin palette, and you can see they have good colour payoff. All except the first shade which you can harldly see at all on the paper. (Hint, it is number one of six on the top line)
The UD version on the other hand was strongly pigmented. When you discount that disappointing first shade however, I would say that I prefer the MUA shades. Rockstar and Loaded from the MUA were always that little bit too shimmery and didn't have a lot of staying power on my eyes. The MUA versions on the other hand are amazing, just the right amount of shine and last well throughout the day.
The eye pencils I would say there is no comparison to. Urban Decay, I am afraid to say is far more superior. It is softer and has a much stronger pigment. I have sensitive and dry eyelids and I find the majority of eye pencils just aren't soft enough for me to work with. The MUA here is no different, it doesn't mean that it is terrible, but it does mean that it isn't suitable for me.
All in all, I would recommend that if you don't already have Urban Decay Smokin', the MUA Smokin palette is a really good buy. Even if you do have the Urban Decay, for £6 I would say the better quality of the darker colours (purple, blue, green, and grey) is worth the money alone.