Best Itinerary for 4 days in Wengen in September

Here's the ideal itinerary.... look at the weather report when you get there, stick your head out the window to see if there's any clouds coming your way, and make the decision on the fly based on the prevailing conditions. Alpine weather is too volatile to plan anything in advanced. You decision to budget 4 days is a good one because you'll have plenty of wiggle room in case you lose a day or two to a storm or white-out conditions.

I will say this, however. You could possibly fit the Mannlichen-Kleine Scheidegg hike and Jungfraujoch in a single day. A cable car goes directly from Wengen to Mannlichen and once you reach Kleine Scheidegg, you can catch the Jungfraubahn from there.

Tom is right about the fickleness of Alpine weather. I like to have a plan, too, and usually my list is longer than my ability to achieve. Based on 3 trips to the area, here is my advice.

The Jungfraujoch is usually best done as early in the day as possible. Weather tends to get cloudier later. When you get up -- early! -- check weather and be ready to go. To get the first train up I think we left Lauterbrunnen at 7:00-something! We were back down by 13:00 or so. You can easily do a hike that afternoon. Mannlichen to Kleine Scheidigg will be easy enough after lunch, especially since you are staying in Wengen, about 1.5 hours.

The falls -- Staubbach and Trummelbach -- can be done in a nice valley hike, even if overcast or misty.

The hike from Grutschalp (above Lauterbrunnen) to Muerren along the mountain railroad is very nice. Take it in the morning and have lunch in Muerren. Weather permitting you can continue up to the Schilthorn and BIrg. OR hie thee to the Schilthorn first thing in the AM, then hike back along the cliff, descending at Grutschalp. There are other variations of visiting the Schilthorn and hiking in the area: the Northface hike, Almendhubel.

If you have enough time, the lift at Grindelwald to First and possible hikes there are fantastic, too.

Do look into a pass. You will be taking a lot of lifts and the little train to/from Wengen. We always find the Berner Overland Regional Pass pays off. We used close to 200% of the value in a 7-night trip last fall.

I agree with what's been said so far. I wouldn't give a specific itinerary because it depends on the weather each day.
However, I will give you the best 2 hour hikes in the area,
and they follow the 3 great ridges.
The first goes
from Grutschalp to Murren. You can see that trail and others here:
http://www.gimmelwald.com/pics/gimmelwald/hikemap.jpg

The second goes from Mannlichen to Kleine Scheidegg. The walk itself is
about 2 hours, and we save this for the sunniest day, because of the panoramic
views. (Leave in the morning--most afternoons the peaks cloud up!) Take the
Wengen cable car up to Mannlichen. Once up, you can look
left at a 30 min up and back trail to a lookout point. If you look right
there is the main tra‎il that leads toward the Jungfrau mounta‌in, which takes
1.5 hrs and you end up in Kleine Scheidegg, where you can catch a train down
to Wengen . Great panoramic views all along the
route. This trail is so easy you could do it in a wheelchair.

The 3rd classic trail is from First to Bachalpsee. Take the Lauterbrunnen
train down to Zweilutschinen.
Get off to switch to the train going up to
Grindelwald. (Or, another route is to take the Mannlichen to Grindelwald cable car, but that's more expensive.)
Once in Grindelwald, walk about 20 min further into town to get
to the cablecar station, where you take it all the way up to First. From there
walk south to Bachalpsee. There are trail signs, and it is about 45 min each
way. On a sunny day, you can get great pictures of the mountains reflected in
Bachalpsee, which is a small lake. Just Google image "Bachalpsee" and you'll
see what I mean.
Finally, if you get a foggy or misty day, you can walk from Lauterbrunnen to Trummelbach Falls, which is about an hour each way (or take the PostBus). Google image it to see why Trummelbach Falls are worth seeing, and the nice thing is you can actually see them just fine on a dreary and foggy day.

Allen

You've already gotten the best possible advice from multiple people - just see what the weather is that day and plan accordingly. If the weather's good, get going! (even if you've just arrived, don't unpack - just drop the bags and start). If it's cloudy, don't waste money on the Jungfraujoch or Schilthornbahn; the valley floor walk (with the waterfalls) is fine then.

When you do go up the Schilhorn, definitely stop at Birg. It's included in your ticket and you have to stop there any way to change cable cars, and on the day I went, my view from the Schiltorn was obscured by clouds, while my view from Birg was crystal clear.

I hope you have Rick's Switzerland book. His chapter on this area is one of his very best (except for his over-emphasis on Gimmelwald). I found it hard to follow when I read it ahead of time, but once I was there, it was super-easy to understand and follow. So, if you've brought the book (physical paper or electronic), you'll find invaluable once there - even if it seems confusing to read now.

Thank you everyone. Now we just have to hope the weather is kind to us.