When I first purchased my Z900, I road it home in RAIN mode just to get used to the bike.
After I was comfortable with the machine after a few hours, I put it in ROAD mode for the rest of the "break-in" period.
Leaving the service center after the first factory recommended service, I then put it in SPORT mode, and that's where it has been ever since. I feel a noticeable difference between all of the modes. Even the KTC difference from 2 to 1 in ROAD vs SPORT mode respectively, changes the behavior of the bike - especially under hard acceleration.
I guess I'll play with RIDER mode at some point to have full-power and KTC off. It will also be a place for a possible ECU tune if I ever get that done.