I was recently in the same position as yourself, and I settled for the D40X based mainly on how it felt in my hands. It does not have built in antidust or antishake, however, you do get a reasonably priced 55-200 mm VR lens from Nikon for around 220$. I am very happy with mine so far. I prefer seeing the antishake in the lens over not seeing it at all (which you can't when VR is in the body so youll have to take its word that it its working). However since you mentioned money being a problem, I think one of the cheapest DSLRs around right now are the D40. Its basically the same camera as the D40X only with 6 mp instead of 10,2 mp. That being said, I think it sells for around 480 $ now at amazon with the 18-55 mm lens, which is a decent kit lens. As I haven't tried the Pentax camera I can't really comment on that. You would also want to consider what kind of lenses and to what price they are available for the body you buy.
When it comes to the AF on Nikon D40X, I haven't really experienced any problems with it not locking on what I want or focusing wrong (even in almost complete darkness I don't have a problem). I shot a rugby game not long ago and I was actually surprised at how well it worked. Though for action sports, I would suggest locking the AF at the target while tracking it, and ss I mentioned I cant really speak for the Lumix camera and how that works in this regard, just don't hang yourself up in the megapixels or the AF points as it is also important to see hwo they work and look in practise (perhaps try them out in a store even).
I think the best advise I can give (Im sure others with more knowledge can elaborate on specs etc) is to look at the camera, hold it, feel it and listen to it (maybe even smell it if your into that sort of thing
). Ultimatley thats more important than many features like anti-shake, antidust, Megapixels etc. because it is what will make you enjoy taking lots and lots of photos.
Hope this helps a little