Congratulations on your new dSLR. I shoot Canon, so it's my job to tell you that you should have bought Canon!
Just kidding. Now that I've got that out of my system...
Since this is your first dSLR, I have a feeling you would have felt the same whether you bought the Canon or the Nikon. There's a learning curve to these dSLRs, and it can be pretty intimidating and pretty overwhelming, regardless of what brand dSLR you own. In the end, though, all entry-level dSLRs (ex. Canon T1i, Nikon D5000, etc) all take very very good photos. You can take a great photo from any of these entry-level dSLRs.
You were right to try out the different cameras in your hands first, before you made your purchase. For a beginning user, that's probably THE most important feature to consider.
Someone else a couple weeks ago on this message board was also asking for reassurance about their new Nikon D5000 purchase. Here's what I replied a couple weeks ago:
I don't know if you're familiar with Scott Kelby. He's a HUGE author of Photoshop and photography books, president of the National Association of Photoshop Professionals, and a big Nikon photographer. He's written several books on Photoshop, Lightroom, and a series of books called "The Digital Photography Book".
Anyway, he recently went on a vacation to Italy, and accidentally left all his camera equipment at a NY hotel *right before* leaving for Italy. So once he got to Italy, he scrambled to buy a replacement Nikon camera, intending to use it for the vacation and resell it when he returned back to the US. He ended up buying the Nikon D5000. He was
very pleasantly surprised at its performance and the photos it took.
When he got back to the US, he sold his old back-up camera, and the Nikon D5000 became his new back-up camera.
Here's his story:
http://www.scottkelby.com/blog/2009/archives/5202
Anyway, if Scott Kelby can give a huge thumbs up for this camera, I'll bet it must be really good.
Hope that helps. (you still should have bought Canon!
)
One more thing. You asked what you should purchase next. If you haven't already, your next purchase should be the book
Understanding Exposure by Bryan Peterson (
link to
Amazon). This book is the most-recommended book on this message board. It will help you understand the basics of photography (ie. shutter speed, aperture, ISO, etc.).
You can also consider buying an Intro to Digital Photography book. There are dozens of such books at your local bookstore, so browse through them to see which one fits your learning style.
It seems like the D5000 is getting to be pretty popular anymore. There are a couple of us on the photography boards that are still learning all the different features it has in it and it seems like they never end. 
