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Yeah, I have tried both programming in OpenGL and DirectX. I'm able to write games in DirectX, using C# or C++. Though I partly agree with you, cause multiplatform game programming is what you should aim for, when you're developing a game. Although, I disagree on OpenGL having good documentation. There are almost no new books on the topic. To state this point, you could try a search for "OpenGL game programming" at Amazon and a similar search for "DirectX game programming." You could possily omit the word "game" in your searches too and see what you find.
Altough, it has to be said, the documentation following Microsoft DirectX SDK isn't exceptionally good either. But atleast there are more and better books on DirectX. See Tom Millers - "Managed DirectX 9 - Graphics and Game Programming." To mention a really good one.
To say that programming in DirectX is restricting your release to Windows isn't exactly accurate. Because, you could release it on the major console platforms, xbox, PS2 and gamecube very easily. Though porting a DirectX game to Linux/MacOS can prove to be more difficult and requires porting it to OpenGL.
The reason why I say OpenGL is more difficult is probably because I started on some scattered tutorials some years ago and I never made any sence of it. (Maybe I wasn't commited enough). Some time after that, I was able to learn DirectX. Altough I'm about to start programming a new game and I though it would be nice to do it in OpenGL and on Linux. I've ordered these:
"OpenGL Game Development" ~Chris Seddon 2004
"OpenGL Super Bible" ~OpenGL Architecture Review Board 2004
And we'll see if I come to review my standings on the issue when I've read these books.