I was actually very surprised that nobody had done a side-by-side comparison of these two cameras. As more and more people are moving over to the Leica system because M8's and M9's are becoming relatively affordable I decided to do a direct side-by-side of the M8 and M9 so that people like me, who are on a relative budget can have some good data to look to when trying to decide whether the M9 is worth the price premium over the M8. Right now a used M8 is about $2000, an M9 is about $4000, and the M9-P (exactly the same guts as an M9) is about $5800.
Before I get into the test, there were some anomalies between the M8 and M9 that I noticed that had to be adjusted for. First of all, the M9 underexposed by one stop consistently. I ran the full test 3 times and finally set the M9 to +1EV to get a good exposure. Also, both the M8 and M9 were set to Tungsten WB, but the colors were vastly different. I attribute this to the stronger UV/IR that I had on the M8 lens. I shot in DNG and set the white balance on the white square on the color card in the test scene. The results are similar but not an exact match.
To keep a similar field of view I used a Leica 50mm f/1.4 Summilux lens on the M9 and a Voigtländer 35mm f/1.4 Nokton on the M8 (46.6 equiv.) Both cameras were set to Aperture priority and the lenses were stopped down to f/8. The images are 100% view screenshots from Lightroom 5. I used the LR5 defaults for sharpness and noise reduction of 25% sharpness and 25% color NR. (I also ran a set with no adjustments, which I can post if anyone asks).
The M9 images are on the left and the M8 on the right. Click on the images to view full size.
As you can plainly see the M9 does indeed give about a one stop advantage. At ISO 1250 the M9 is easily usable whereas the M8 is borderline. At ISO 2500 the M9 could work in a pinch, but the M8 in completely unusable. Even after trying a number of different noise reduction techniques I could not get a usable image out of the M8 at ISO 2500.
That being said, I regularly use the M8 at ISO 1250 when shooting concerts and I've had good results. It seems that in high contrast situations like concerts where you have extremely bright and extremely dark tones that the shadows can be toned down to make the noise a little less noticeable. I haven't had much practice shooting the M9 in these conditions and I'll report back later on that.
As far as daylight shooting goes the M8 and M9 are pretty much equal up until 640 where the M9 edges out the M8, but not by much. If you're a daylight shooter and not big into cropping get a 28mm f/2 or a 35mm f/1.4 (or both) and keep it down to ISO 640 and you'll be fine. If you shoot at night a lot that extra ISO stop of the M9 may make a difference.
The M9 does have some advantages for the price difference. It is a full-frame camera and has more pixels to play with if you like to crop, and the menu system has many refinements, such as easier exposure compensation settings, manual entry for non-coded lenses, easier ISO setting in 1/3 steps. Full-frame also allows you to go wider since you have no 1.3X crop.
So is the M9 worth twice price of the M8? I'd say on the whole, no. If the M9 were only $1000 more than the M8 I'd say get an M9 over the M8, but at double the price I'd have absolutely no problem buying two M8's and running with a 28/35 set up.
If you know you have your heart set on full-frame, then don't mess around. Just get the M9. But if you can live with a slight crop or you want to get into the Leica system without spending more than a high-end DSLR kit will cost you the M8 is a really good camera. I really like the M8 paired with the Voigtländer 35mm f/1.4 Nokton. This is a great normal starter kit for less than $2500.
Obviously, this is just my opinion. In the end I knew I wanted a full-frame camera, I had the money, and I got a great deal on a used M9-P, but, I'm also keeping my M8. It makes a good companion to my M9 with the lenses I have.
You can check out my work with the cameras on my flickr site. Obviously I've been working with the M8 longer so there are much more photos than with the M9.
Flickr Leica M8 set
Flickr Leica M9-P set