Language: Erlang, Char count: 222
EDIT2: Erlang preprocessor allows some sort of unbalanced macros so this version is 9 chars shorter.
-module(n2).
-export([y/1]).
-define(D(V,S),n(N)when N>=V->[??S|n(N-V)];).
y(N)->io:format(n(N)).
?D(1000,M)?D(900,CM)?D(500,D)?D(400,CD)?D(100,C)?D(90,XC)?D(50,L)?D(40,XL)?D(10,X)?D(9,IX)?D(5,V)?D(4,IV)?D(1,I)n(0)->[10].
EDIT: Shorter version inspired by Darius version (231 chars)
-module(n).
-export([y/1]).
y(N)->io:format([n(N),10]).
n(N)when N>9->[Y||C<-n(N div 10),{K,Y}<-lists:zip("IVXLC","XLCDM"),K==C]++o(N rem 10);n(N)->o(N).
o(N)->lists:nth(N+1,[[]|string:tokens("I II III IV V VI VII VIII IX"," ")]).
It's less readable but save 2 chars (233 chars).
-module(n).
-export([y/1]).
-define(D(V,S),n(N)when N>=V->[??S|n(N-V)]).
y(N)->io:format(n(N)).
?D(1000,M);?D(900,CM);?D(500,D);?D(400,CD);?D(100,C);?D(90,XC);?D(50,L);?D(40,XL);?D(10,X);?D(9,IX);?D(5,V);?D(4,IV);?D(1,I);n(0)->[10].
Command line version:
-module(n).
-export([y/1]).
-define(D(V,S),n(N)when N>=V->[??S|n(N-V)]).
y([N])->io:format(n(list_to_integer(N))),init:stop().
?D(1000,M);?D(900,CM);?D(500,D);?D(400,CD);?D(100,C);?D(90,XC);?D(50,L);?D(40,XL);?D(10,X);?D(9,IX);?D(5,V);?D(4,IV);?D(1,I);n(0)->[10].
Invocation:
$ erl -noshell -noinput -run n y 2009
MMIX
EDIT: I saved 17 chars using literal macro expansion.