What the Fed says:

Currency weights since Dec 15, 2005
The broad index list all US trading partners, these partners are ranked as  are either "major"  or "other". These indexes are derived from the broad index.

The Major Currency Index
The major currency index was designed to serve many of the same purposes that the G-10 index of the dollars foreign exchange value served in the past.

Like the G-10 index, the major currency index not only measures the competitiveness of U.S. goods relative to goods of the major industrial countries, it also serves as a gauge of financial pressures on the dollar. As a consequence, the index includes currencies traded in deep and relatively liquid financial markets and for which short- and long-term interest rates are readily available: the currencies of the G-10 countries and of the other countries of the euro area and the Australian dollar.

One benefit of this currency group is that it excludes currencies of trading partners with a history of high inflation relative to the United States. Thus it provides a useful gauge of the dollars foreign exchange value in nominal terms for tracking both day-to-day and longer-term developments. Currencies of economies subject to high inflation pose a problem in the construction of a nominal exchange rate index: Because the large depreciations of those currencies tend to dominate the index, the contributions of movements in the dollars nominal value against other currencies become relatively insignificant.

The Major Currency Index (DTWEXM) seems to be the closest to a broad match of both series of data, at least matching the purpose of that index. Matching trade weights with the major partners.

Due to it's large component of Euro area countries, the Dollar Index (DXY) is mostly pricing the Euro exchange rate (for 57.6% that is). Effectively outdated if I read the comments of the Fed correctly. The only Dollar Index traded on the NYBOT though.

In summary: the G-10 Dollar Index, or DX is the weight of the Dollar vs. the G-10 currencies, whereas the Major Currencies Dollar Index would be the proper weight of the currency vs. Major trading partners.

Last but not least, the Merc also has launched an own CME$Index.
Understandable, as the Merc is a major currencies futures exchange. Very, very thinly traded.

Note: CME Dollar Index and the FED's Broad index have been updated to Dec 2005 vaues, other indexes still have Dec 2003 values.