This has to be simple if you know what you're doing?

I have two data sets with very different magnitudes. The first data set ranges from 2000 to 40000. The second data set ranges from 20 to 500. I suspect the first data set has greater variability than the second set. What statistic could I use to compare the variation between the two data sets? Comparing SE or SD seems inappropriate.
Why do you think comparing the SDs is inappropriate?

In theory you could transform the first dataset by making y=x/100, say, to give you a similar range to the second set, but this really depends on what the data are measures of and whether they are still comparable.