If you are buying new, you will have to order a 125, as i believe that they have not been imported to America since 2001. For 2003 both models have the 48mm forks, so only the valving will be different, whereas last year, the SX had different forks. Also, for 03, both models will have the same seat and tank configuration. The EXC might hold more fuel (not sure), but it should be as slim. The EXC has a lower first gear for all the technical terrain on the trails and higher 5th and 6th for road sections. Both are not good for MX. If you want more torque, you could try a flywheel weight for the SX. The SX would also be a cheaper option.
Another thing that just came to mind is that for 03 the SX will only have five gears to the EXC's 6 - this may or may not be a problem for your riding terrain??