I have not had direct experience with Findbugs or PMD but have met plenty of people who have compared them with Klocwork and Coverity.
My general take on the feedback has been:
Findbugs and PMD are more "tool-ish". The type of thing you'd run on your desktop. It finds a wide range of potential problems but tends to be noisy, meaning false positives and "I don't care" varieties. It does find some good stuff. I've heard mixed feedback on its long term use. Some feel that the ROI on a free tool is infinite however there is a true cost to false positives.
Not surprisingly, Klocwork and Coverity, which cost money, tend to be more solution oriented that can also scales better to work with teams, has a more efficient, easier to use UI and tends to be less noisy. It seems their analysis is doing deeper inspection and therefore coming up with better results if you did a side by side comparison. When adopting a tool across a team, you'll have various levels of enthusiasm for using a tool and the noise factor is a big issue that prevents widespread adoption. Of course there are things like having support to back you up, etc.
In general, because Findbugs and PMD are free, you see that as a first option. Many companies see value and choose Coverity or Klocwork for a longer term solution although I see also running Findbugs and PMD. They tend to find different things and so if your goal is to find and fix as much as possible, it's good to have a combination of both.
Disclosure: I work for Code Integrity Solutions (codeintegritysolutions.com) which is a partner of Coverity.