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.
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