It depends; are you one of those hyper-active, quick-shift type of guys? Or, (like me) prefer to keep the engine on the lazy side of the powerband and clutch into the power on demand? If the 1st type, then a 125 is a blast in the woods. If the 2nd type, get the 250 and hang on tight!
As to weight, the 250's are lighter than the KDX, and have much better power. The 125 will be MUCH lighter, and have a bit more top end power. Any of the motobikes will have better ergos.
Either size MX bike will be more suited for moto than the KDX. But, now don't get me wrong, the KDX is a great bike, but it is good at what it is good at, which is a nice & reliable trail bike which can be made a lot faster with some mods.
Good luck with the decision. :)