I've have/had 3 of those 4 and here are my short takes on them. BTW, all 3 of these require 60+ hours of burn-in play to "settle" into their signature sound.
Klipsch S4 -- pretty "hot" to my ears. Bass is very strong, tending toward boomy, and can overtake the mids; highs are pretty hot and can be fatiquing after a period of time. Mids are recessed and not as balanced with the strong bass and treble.
RE0 -- silky smooth and fairly laid back in the bass region. Bass has decent extension and depth, but very little impact (e.g. kick drums don't kick much -- you hear it but never feel it). Mids and highs are extremely clear and detailed -- you can hear nuances in the highs you've never heard before -- almost everything pales in comparison to the beautiful highs of the RE0. Without a decent, amp, though, these will under-perform and not be very "musical", meaning really fun to listen to.
Rain -- first requires (as recommended by the Thinksound lead developer, Alan Fournier) that a small port on the front of the phone, under the nozzle, be plugged. Otherwise, it is too open and you never get a sense of in-ear seal, not much bass, etc. Once that's done, though, the sound is closer to the S4 than the RE0 -- very active and present. The bass is deep and impactful, but not boomy. Highs are smoother than the S4, but not as clean and clear as the RE0, but still satisfactory. And mids are more present than in the S4, about equal with the RE0, although none of these 3 are as mid-centered as Shure-type phones. The Rain soundstage is wider than S4 and RE0, and instrument separation is very good -- S4 seemed to get confused with busy music. RE0 has good separation, too, but its soundstage feels more 2-dimensional).
The Rain is my favorite of the 3. It responds to EQ very well if you need to bring down the bass a notch and the highs up a notch. I never could get the RE0 to give me much bass impact despite pushing bass levels high. S4, oddly, sounded worse (to me) the more I tried to EQ it. It seemed best when left alone and listened to as is.
Edited by kmhaynes - 8/17/10 at 8:24pm