The DXF import definitely needs some improvement.
There are tons of different DXF file formats.
As far as I remember you'll need an ASCII DXF file which only contains lines and polygons and which was saved in AutoCAD R12 (or earlier?) format.
Here's some basic information:
http://en.wikipedia.org/wiki/AutoCAD_DXF
I usually open DXF's in another 3D app and re-save them in a known good format.
cheers
peter