EDIT 23-06-2012 10:24 (CET): Found the answer
Take a look at the bottom answer. That is what fixed the issue for me. IE9 is rendering the right way now.
I had exactly the same behaviour with IE and https. IE tried to load 3 of the 4 fonts but as soon as the server delivered the resource, IE broke up and moved to the next font. Finally no font was loaded and the site looked crappy. In my case the http header "pragma=no-cache" was the thing that confused IE. After removing it from the response, everything worked smoothly. See also my blog entry which explains the trick with Wildfly and Undertow: Blog
UPDATE:
In the meantime I opened a bug at microsoft connect: https://connect.microsoft.com/IE/feedbackdetail/view/992569/font-face-not-working-with-internet-explorer-and-http-header-pragma-no-cache
If you want them to fix the problem, please vote for the bug.