9.5 here (sometimes 9 or 10) and I'm running large MKS clips. I think my size is right in between the M and L range, so...
Wondering whether M would've been better, I tried mounting my L clips on the inside of the pedal cages with a washer in between--effectively pulling them back ~5mm from where they sat when mounted on the outside of the cage. It just didn't feel as good, even after a week-long adjustment period. Skidding put too much strain on my feet (yea, feet) and that 5mm made them noticeably less secure on the pedal (also because the clip covers the front of the cage when mounted this way).
Further, the feeling of the clips being too deep or too shallow depends on the shoes I'm wearing. Ugh, this makes me want to go clipless.