[elg]

I was thinking between Pentax K-x and Nikon D5000 as my first DSLR.

Note, that D5000 does not have focusing engine in the body, so if you want get cheaper Nikon primes (Like f/1.8 Nikkor and other screwdriver focused glass), the D5000 will not be able to autofocus with them.

Noise and DR wise they (K-x and D5000) are about the same. I like K-x colors a little bit more though, but this may be subjective thing.

Other points to consider:

K-x has SR in the body, so all your glass will be stabilized. It is less effective with very long focal lengths though. With Nikon you will have to get their VR lenses in order to have the image stabilization.

Pentax has inexpensive weather sealed lenses (like 18-55WR, 55-200WR).
Pentax lenses may have slower AF, as many of them are screwdriver lenses. The AF will be fast enough with lighter lenses though.

If you are into doing a lot of flash photography, then there probably is no better flash system than Nikon's (Note: D5000 cannot be a i-TTL flash commander/controller, while D90- can). With Pentax K-x - it can be a P-TTL flash commander/controller, but Pentax flash system is not as good as Nikon.

With K-x you will need to invest into a good battery charger and a few sets of reliable LSD rechargeables (like Sanyo 'Eneloop', Duracell 'Stay Charged' or similar). Note that K-x performance with them will be a little bit slower than with Energizer Lithium AA batteries, but lithium batteries are too expensive in the longer run (they are not rechargeable).

With K-r you may have more options, as it has rechargeable lithium battery, but AA batteries can still be used with an adapter. K-r also has selected/activated focus point indication in the viewfinder, while K-x - has not. K-r may focus faster in liveview than K-x.

Pentax K-x viewfinder is slightly brighter than D5000.

Apart from that - check where is the closest Pentax representative for Poland, if there is no representative in Poland itself (this may be useful if the problems occur).

[cats_five]

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Cheaper alternative would be the oly 600 (yes I said 600 and not 620), the 600 is essentially the same as the 620, the sensor is quite nice, and you can get 1 with a dual kit for around 400 (exceptional value IMO), oly has one of the nicest jpg production out of the camera I've seen. The only problem is that it's a 4/3 system = 2X crop... that can get annoying real quick, the perk is that it can use MD/FD lens = super cheaper manual lens.

The 2x crop is a bonus if you do wildlife and so on. The potential cost of something longer than 300mm for my K7 is eyewatering. The Oly 70-300mm was an excellent lens at an excellent price.