I have had my D5000 for two and a half years with no dust that I've noticed but my D40 that I had before had to be blown off from time to time.
So the dust removal system must work but I have seen posts on other forums by severall people about oil spots on the D7000 sensor. So it looks like cleaning may always be an issue with DSLRs.
I have an old Panasonic bridge camera (my first venture into digital) which I have had for years and very often it's been on sandy beaches and in dusty places with no sign of dust at all and it has a zoom lens.