3 - as in Windows Live Messenger Wave 3; this is not used in official titles by Microsoft but you may see it being referred to as "Wave 3" quite a lot. This is because it is the version of Messenger being released as part of Windows Live Wave 3 (the term wave is used to describe a group of Windows Live software and services released at the same time).
9 - the logical choice for the next major version of Messenger after 8.5, and the version number given to the first dogfood beta version (also known as "beta 0" or "beta 1") after the last 8.5 release.
14 - the build number used in the actual beta software and for the rest of the Windows Live Wave 3 applications. The number has jumped so much so that all these version numbers are unified (and is the number 14 as it follows on from 12 which was given to a lot of the applications in Windows Vista and Windows Live Wave 2 and to the last version of Office - missing out number 13 as it was deemed too unlucky).
2009 - the overall term used to describe all versions of Messenger released as part of Wave 3 (despite what their specific version or build numbers are). "Version 2009" is used officially by Microsoft and can be seen in the latest public builds of Messenger. 2009 is used as the final version will be released then, along with the other Windows Live Essentials software. "Version 2008" was used to describe the 8.5 version of Messenger which was released in 2008 as part of Wave 2.
So, the rule of thumb? It seems to be to use Windows Live Messenger 2009 to generally talk about Wave 3 builds or use Windows Live Messenger 14.x version numbers when talking about a specific build.

A bit extra on Windows Live & Windows 7:
Sorry, I couldn't resist a ramble of speculation and summarization here. I already mentioned how the unified version numbers follow on from the applications in Vista. As most of these apps are now duplicated by Windows Live Essentials (e.g. Mail, Photo Gallery) they are being removed from Windows 7 in favour of the Windows Live apps. This is also partly so that the pieces of software can be updated more often - through a Windows Live Wave - that they would be otherwise - just through a major operating system release. But presumably the built-in applications left in Windows 7 (e.g. Calculator, Paint, WordPad) will also be version 14 builds to follow on from Vista? And the Wave 3 software UI is the same as we have seen in Windows 7. So Windows Live Wave 3 and Windows 7 are surely designed to go together ... ?
It is planned that Windows Live Essentials (Wave 3) final will be released in Q1 of 2009. This should be after the Windows 7 beta 1 release but most likely before the RTM, meaning that there will be plenty of time to sort out any remaining problems between the Essentials software and Windows 7 before the general public begin experiencing the two together. This strongly suggests to me that there will no further major update to Windows Live until a while after the Windows 7 release (depending on how early Microsoft actually release 7).
It makes sense to link the two together and in some way have a coordinated release cycle/roadmap to avoid confusion to users and promote both products - although it is still unclear exactly how much Windows Live will be promoted within Windows 7. However, despite all these suggestions, in a recent interview Windows Live general manager Brian Hall "said it was too soon to say if the 'Wave 4' release would precede Windows 7 or be coincident to it". Make of that what you will.
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