I always keep in the S mode. I seem to remember reading somewhere that the S mode is the only mode that 'learns' your driving style and acts accordingly.
I was told by mechanic that originally the two modes would be called winter and summer, with the winter having a small snow flake displayed. Several other manufactures had this as well.
The winter mode (now called comfort mode ) does not shift to the lowest gear but starts in virtual second to give less wheel slippage when icy. To also aid in winter weather the transmission shifts at lower RPM. Thus winter mode feels smoother to the driver and is now marketed as Comfort mode. Other manufacturers have names such as sport and normal.
The manual says to drive in S mode but never states when to use C mode.