The new KTM's are great. The handling is so precise. Recently Rode a dialed in '11 300 with the suspension done and LOVED it. Best bike I've ever ridden.
Re: a KX250, here is the thing with most Japanese MX250's: They can make great trail bikes. Lighter and much more powerful than your KDX (you won't be riding 90+% wide open 90+% of the time, lol).
The trick is getting the suspension and power delivery set up right for you and the trails you ride. Not usually a big deal and even stone stock it will be fun.
If it does not have a spark arrestor and it is too loud, you will have to get a spark arrestor/silencer for most places (around here they are required).
The MX bikes also usually have small tank, close ratio gear boxes and no lights. For 90% of all riders, these things are not an issue.
FWIW, you might find a good '99 - '02 KTM 250 or 300 EXC for not much more than the KX. Also, the YZ250 is also pretty popular as far as an MX bike in the woods. Last one I rode was an '06 and it was very nimble and had excellent acceleration.