Nitro or Electric?
How much space you have to fly in?
DX6 should work with heli? I have DX7 but I could swear I've seen DX6 posts here. Much cheaper to just buy another receiver.
Do you have a flight sim already?
Honestly I have both nitro and electric, and electric is just plain easier to deal with and a bit cheaper to maintain but more expensive initially.
Gyro will really depend on the type/size of heli you get. I prefer GY401 for smaller .30 / T-Rex size, and GY520 or maybe GY611 for larger .60 size heli. IMO there are no better gyros for a heli and these do not come cheap. You would almost hit your price ceiling on these alone.
For $500 I would invest in a T-Rex 450S for under $300, AR7000 Rcvr to go with your DX6 (If that works) for $99, JR Servos (DS285) x $35 ea comes to mind, and perhaps DCE 500x gyro from Align for about $70. You would also need some batteries and a half decent charger if you don't already have.
If you don't invest in a T-Rex, just make sure you don't buy Walkera or G2. Pretty much junk and you will spend a ton just making it fly.
Blade CP Pro can be fairly fun and challenging however it's got a tail motor and isn't quite as responsive in HH as it seems you are looking. However, for $250 it's a very nice out of the box RTF heli.
As far as tutorials, there are quite a bit on the web. Finless has some of the best. His site is:
http://www.helitown.com/VedeoInstruc...yBobWhite.html