Here are some screenshots of the improvements in DX10 over DX9:

DX9:


DX10:


DX9:


DX10:


DX9:


DX10:


In both versions of this underwater shot, waves moving across the surface ripple your view of what is above the water. The difference here is subtle. In the DX9 version, the trees and sky above look like they would above water, except for this ripple. In the DX10 version, the colors above the water are slightly altered, creating a sense that the water you're in is not 100% clear.

If you look closely at the trees in the DX10 version, you can even see the water actually refracts the light into the rainbow.
Many games like Crysis at the moment are not taking full advantage of DX10, so they seem more similar to DX9. The problem regarding DX10 is that you have to have Vista to use it, but Vista itself is a performance issue - so you may in fact get worse performance on DX10 compared to DX9 simply because of Vista.