I thought I remembered reading somewhere that IE9 would not be supporting them, but now after searching I can't find any indication that this is true.
Is anyone aware of a definitive statement, either way, about whether Microsoft will be supporting conditional comments in IE9?
The Platform Preview supports them, fire it up (or download it, then fire it up) and see this example - http://jsbin.com/axaju3:
<!--[if IE 9]>
<p>You are using IE 9</p>
<![endif]-->
Tested in IE 9 Document Mode.
Straight from the horse's mouth, EricLaw from the IE team has confirmed in the comments below that CCs are still available in IE9.
A recent post on the IE blog shows that, as part of the effort to get consistent cross-browser HTML5 parsing, conditional comments will not work in IE10's rendering engine:
<!--[if IE]>
This content is ignored in IE10 and other browsers.
In older versions of IE it renders as part of the page.
<![endif]-->
This is true as of Platform Preview 2 and the author suggests you should use feature detection as an alternative.