There are several suggestions for this. See the 'More Like This' panel immediately to the right of this message. You'll find ideas in those threads.

Gator makes a small keyboard bag that fits the hd500 perfectly. Has enough room for the pod and a couple of cables in the bag and there is a side pocket for the adapter and more accessories. Sells for around $30-35 at most stores. Well worth it!

http://www.sweetwater.com/store/detail/GK2110

I squeeze mine into the bag that I had for the X3L, also a Gator.  don't remember the model.  It's a bit tight depth-wise, but it does the trick.

If you're considering a bag rather than a hard case, then the 1SKB-SC2111 is your huckleberry http://www.skbcases.com/music/products/proddetail.php?id=589&c=85&o=&s=75

It's almost as if SKB made this bag specifically for the HD500.  The lengthwise fit is exact.  There is about .75" extra in the width, which is what you want in order to get the HD500 in and out, since this is more like a case than it is a bag.  The rigid EPS foam is going to provide a lot more protection around the perimeter than other carry bags out there. 

The 1SKB-SC2311 will also work, but it's 1.5" longer (and also .50" narrower).  Personally, I prefer no side-to-side slop, but it's questionable as to how much sliding around the HD500 would do in the SC2311.  Either way, the SKB is a way better choice than Gator or RoadRunner (which both make good stuff) for the HD500.

The only problem with the 1SKB-SC2111 is that they're hard to get right now.  Everyone but Full Compass was back-ordered on them.

Well worth the money (and the wait, if necessary).