I've only used S9 and Clip+.
With stock firmware, Cowon J3 edges out Clip+ on parameters like Battery life, better output power, EQ etc., But with Rockbox installed, I prefer Clip+'s EQ which is not exactly limited in bands like the J3. Though I'd require a 10-band parametric EQ for complete control over the Frequency response of the IEMs, for a portable device, RB's 5-band EQ comes close apart from the fact that you can store unlimited settings unlike J3's 4 Custom EQs. iPod Touch's eQu was even better when it comes to freedom, but I had a hard time setting it to my exact wishes - fat fingers, I guess.
J3 is feature rich as well as costly. It offers better screen, UCIs for customization, BBE, output power and most of all, that long battery life. The only one that came close in terms of battery life is my Sony E353, though to be fair, Cowon S9 did 36 hrs with last bar remaining with 320kbps and FLAC files mostly and E353 went through 38 hrs barely losing 50% battery with VBR files (due to it's limited 4GB capacity) - both on Shuffle and repeat.
Clip+ scores on ultra-portability, surviving casual drops (5-6 times and still working, once from 5 ft height), but loses out on output power (which is never an issue for me with any IEM, even the 150 ohm RE-262) and battery life (expect 10-12 hrs). I still retained the Clip+ and sold my S9 when reducing my inventory. There's nothing that could fit in my earphone case (never tried nano or shuffle though) and have good SQ as well. It measures
well too. It's low output impedance makes it work from the finicky impedance IEMs like
JVC HA-FXT90 (read first post) to the BAs whose response curve varies if matched with a device which has a high output impedance (Samsung Galaxy, iPod Video).
Coming to the subjective SQ, Clip+ has a flat frequency response, Cowon S9/J3 have a bass roll-off. Though in practice, I've not heard / read many complain about the bass roll-off of J3. If it was, someone who writes
Multi-IEM Review - 202 IEMs compared (Fischer Audio Consonance & Ultimate Ears 350 added 10/25/11) would know better than to keep it as his only DAP

.
I personally preferred Clip+'s SQ a little bit more than S9. I prefer QA350 -> DO -> UHA-6S with OPA209 far better, but that latter setup is a bloody brick with not much score on the usability and practical side of things.