The 125 weighs about 60lbs less than the klx and makes 7-10 more hp on the top end. Of course that doesn't matter if you never use the top end. The KLX will have much more low end power and be much easier to use. I doubt it would last much longer than a well cared for KDX. The KDX lasts an incredibly long time, is super easy and cheep to work on etc. The only advantage I see for the KLX is that it would probably be a better dual sport bike and might hook up slightly better than the KDX in really slippery conditions. IMHO 125's are excelent woods bikes provided you know how to ride them, terrible if you don't.
They dyno charts I've seen put them in the following range
KLX300 = 24hp
KDX200 = 28hp
CR125 = 32hp
None of these are bad bikes, just designed for very different people, pick the one that suits you and have fun:)
My ranking would be as follows:
For me,
Tight woods riding:
casual, super slow trail riding: KDX --> KLX --> CR125
Semi Fast CR125, KDX200, KLX
Race pace CR125, KDX200, KLX
More open terrian
Super slow trail riding KLX, KDX CR125
Semi fast CR125, KDX, KLX
Race pace CR125, KDX, KLX
MX CR125 (the others don't stand a chance).
If you are not used to and refuse to learn to use the clutch and row the gear box constantly to keep the rpms up at all times a 125 will never work well in the woods. The other bikes you can put them in a high gear and lug them around all day. On a 125 you have to keep it singing at all times and use the transmission to modulate the power to the rear wheel.
good luck and have fun:)