I tried out a DGX-505 alongside a Privia PX-555R (same as 400R) and a Roland FP-2. The sounds on the 505 trumped both of 'em, and came within 85% or so of a P250. 90+% with a pair of headphones. (P250 is 70+ lbs. and about $1900.)
The speakers are larger on the 505 than either the Privia or the FP-2, and they have separate tweeters. This isn't just a volume issue; it affects quality. This accounts for nearly all the sound difference between the FP-2 and the 505. Through headphones, they're very close.
The wind sounds on the Privia are very "flat" and uninteresting compared to "sweet/cool" sounds on the 505. So the Privia loses two ways in the sound department.
Speakers on the 505 are just baaaaarely large enough on the 505 you might consider gigging with it in a small room. Of course, the Privia and the FP-2 win in the hammer action department.
The DGX-500 is basically the 505 without the sweet/cool/live sounds, but with a real disk drive instead of the SmartMedia jobbie, and with real MIDI IN/OUT instead of USB. Real MIDI is better because you can get an inexpensive MIDI to USB connector, but to go the other way you need a computer in the loop.
So all in all, the 500 might be a better choice for some people. You can get them new on eBay for just under $500 including S&H. OTOH, those sweet/cool voices really are sweet and cool.
Yamaha is coming out with upgrades to the DGX line next month. The YPG-625 will basically be a DGX-505 with Graded Hammer Standard (GHS) action, somewhat improved sounds (I guess) and no disk drive. It will weight 39.2 lbs. (I think -- there are conflicting reports) and cost about $750 incl. stand and pedal. There is also the YPG-525 (synth action, $600) and the YPG-225 (76 key version, $350). A google will bring up several stores taking pre-orders.
Rick