Help, I am confused now. Nikon D40, D40x or D60 for a start DSLR?

I bought a D40 and I can tell you- I have no regrets for not getting the extra. It's is not entirely true to call it and extra. For $200 less compared to the D40x, it has nothing to lose and all to gain. Flash sync of 1/500 is very handy for fill flash. There's a reason for you to buy the D60, since the sensor cleaning mechanism sounds useful, but sensors do not need to be cleaned for a very long time and it's usually strongly recommended that you take it to a camera shop, because if you break it, you're pretty much done. I'm glad that you're not blinded by the megapixel myth, as it's just another excuse for the camera salesperson to lure you. Get an extra lens instead of opting for a higher megapixel count and a low down on flash sync. Megapixels don't mean higher resolution!!