Here is a great link that answers many questions people have about the KLR's.
The KLR is a great starter bike, due to its torque, forgiving clutch, and easy upright riding position.
The KLR can be ridden pretty much anywhere. It shines exceptionally well of course on back roads, highways, dirt roads and gravel roads. It is a "heavy" bike, weighing in around 400 pounds or so. The key is to respect your learning curve and take your time, till you and the bike become more aquainted with each other. The first gravel road I road on last year, I wouldn't dare get out of first gear for fear of sliding. Now with a year under my belt and lots of riding down in TN and NC, speed on gravel roads is not much of an issue.
The KLR is extremely user friendly. You have to remember the basics are based on a twenty year design, even tho the new 08's have an updated design the baisc pretty much remain the same. Simple gauges and switches. No computers, and sensors to deal with.
I know that is confusing, but the KLR is great at nothing but excels at most everything. It's not the best road bike, it sure isn't the best dirt bike, but if you want to check out that gravel or dirt road, it will get you in and out without problem and be the most dependable bike doing it.
I am 350+ weight wise, and my bike knows nothing under 70 MPH..LOL..70-80 on the interstate is not a problem. I do consume more fuel than the average weight Joe, but at 44 mpg I don't care.
Of course some of the mileage loss is due to an aftermarket pipe, and some carb mods.
I am sure some of the guys with the newer 08 will chime in with some suggestions and comments, but as far as the bike as a whole, I think you will enjoy it immensely.
I do suggest a MSF riders course if this is your first bike. Wear the correct gear and be safe in all that you do.