Funny, I actually sat on a KLX250S at the dealership yesterday. Seemed like a very cool little bike.
You really have to ask yourself. Are you doing 100% street riding? Maybe want to do some occasional track days at the road course? If so, the Ninja 250 is what you want. The KLX250 is more like a 100% any where any time bike. If you ever find yourself traversing via gravel or dirt roads, wanting to check out that 4x4 trail up the mountains, or do a lot of camping the KLX seems like a perfect bike for it.
Now, I personally know nothing about the KLX myself, just saw one at the dealer and sat on it. I haven't researched to see if there are better bikes out there for the money, etc. etc.