Aims. To investigate the temporal and spectral behaviour of four polar cataclysmic variables from the infrared to X-ray regimes, refine our knowledge of the physical parameters of these systems at different accretion rates, and to search for a possible excess of soft X-ray photons. Methods. We obtained and analysed four XMM-Newton X-ray observations of three of the sources, two of them discovered with the SDSS, one in the RASS. The X-ray data were complemented by optical photometric and spectroscopic observations and, for two sources, archival Swift observations. Results. SDSSJ032855.00+052254.2 was X-ray bright in two XMM-Newton and two Swift observations, and shows transitions from high and low accretion states on a timescale of a few months. The source shows no significant soft excess. We measured the magnetic field strength at the main accreting pole to be 39 MG, the inclination to be 45 • ≤ i ≤ 77 • , and we have refined the long-term ephemeris. SDSSJ133309.20+143706.9 was X-ray faint. We measured a faint phase X-ray flux and plasma temperature for this source, which seems to spend almost all of its time accreting at a low level. Its inclination is less than about 76 • . 1RXSJ173006.4+033813 was X-ray bright in the XMM-Newton observation. Its spectrum contained a modest soft blackbody component, not luminous enough to be considered a significant soft excess. We inferred a magnetic field strength at the main accreting pole of 20 to 25 MG, and that the inclination is less than 77 • and probably less than 63 • . V808 Aur, also known as CSS081231:J071126+440405, was X-ray faint in the Swift observation but there is nonetheless strong evidence for bright and faint phases in X-rays and perhaps in UV. Residual X-ray flux from the faint phase is difficult to explain by thermal emission from the white dwarf surface, or by accretion onto the second pole. We present a revised distance estimate of 250 pc. Conclusions. The three systems we could study in detail appear to be normal polars, with luminosities and magnetic field strengths typical for this class of accreting binary. None of the four systems studied shows the strong soft excess thought commonplace in polars prior to the XMM-Newton era.