My riding buddy has a WR 250F and my wife bought me a WR 250F for my birthday. I returned the Yamaha in exchange for a KDX 220. I love the KDX!
So far, the only mods I have done to the KDX are an FMF Rev pipe and stiffer fork springs (I haven't even done the free air box mods). It's lighter than the WR (and it feels MUCH lighter). Power-wise, they're comperable; the WR may have a bit more peak power, but the KDX has just as much, or more, useable power. Everyone complains about KDX's outdated suspension, but (with the fork springs) I have few complaints. The bike goes exactly where I want it to and handles jumps pretty well. If necessary, I'll have the forks re-valved and bring the suspension more up to date. The KDX also starts in one kick every time and cost about $1,200 - $1,500 less OTD (but count on spending about $400 more in necessary mods).
To me, the WR just sin't as fun as the KDX. It feels top heavy. It's also pretty tall (I'm 6'0" and I can't flat foot it). As a result, it's hard to toss around. With a less restrictive exhaust (which is necessary to unleash the motor's power), the bike is WAY, WAY too loud. To get the engine's power, you need to keep it spinning super fast (it rev's out at like 14,000 RPM). That takes a lot of effort and, when combined with the noise, makes the ride less fun. My buddy has also had some pretty bad starting problems (e.g., kicking for 1/2 hour until he's so tired he's about to puke). Lately though, he's been able to start it in one or two kicks. On the plus side, the WR 250F's suspension is really sweet, especially in fast open sections and whoops.
You should take my thoughts with a grain of salt. I am biased towards green bikes (my first bike was a 1982 KDX 175, which I still have and which still runs great). All of the magazines love the WR 250F (although in its enduro shoot-out, Cycle World had the bike coming in sixth (out of six bikes)).
Whichever way you go, have fun!!