Well, no one has posted a reply yet, so here is my 2cents....
I have not heard the Cowon S9 (or any Cowon for that matter
.. ) But I do have a sony X1061 and a Clip+, both roundly praised for SQ. In fact the Sony and S9 were both touted as the top contenders at one point. I waffled between the two for months, but a pricing snafu on sony's part sealed the deal for me ( got it for $100 off!) Any way I have been more and more keen to get a Cowon, rave reviews and better file support.
But back to the topic, I find that an amp hepls both players, but the degree to witch it does depends on the phones. I have a mini3 and a Cmoy, and I had an RSA P-51, the mini3 is by far my favorate, and truly shines when full sized cans are plugged in, or my RE0's.
I also have some UM3X's and TF10's, and the amp makes these sound better as well, just more subtle.
But the mini3 is kind of a little powerhouse, a 9v battery and a fairly stout op-amp (adz8397) so it can handle quite a bit of load.
The P-51 was a bit of a let down for me, It is verry highly touted, but it offered nothing or next to nothing when used with these two players (especially the clip). It was very nice on my touch using a LOD, but i just couldn't justify it for the cost, so i sold it after it was broken in.
So, my advice, if you want to get an amp, make sure its a powerfull one, or you may end up with an external amp that is possibly not as good as the S9's internal amp. I don't know if some of the cheaper (fiio) amps that are powered by a 3.7v battery will add enough to justify the purchace, however, they are cheep enough that its worth trying......