Everything has a price. The price of Nikon's greater pixel density (and hence greater resolving power) is an increased amount of noise.
The difference is most marked at ISO 3200, but that's a setting that you'd not use unless there was no other way you could get the shot. It appears, though, that Nikon encourages D2X users to go no further than ISO 800, whilst Canon encourages 20D (for example) users to stop at ISO 1600.
Whether or not this is an issue for you depends on what you want to shoot, of course.
The other point, of course, is that you're not going to be able to take advantage of that greater resolving power without spending big dollars on glass. But then, to buy a D2X (or a 5D, or a 1Ds) and then stick a $200 zoom lens on it is to spend thousands of dollars on a $300 point-and-shoot.