They're wrong.** No DOF preview button for the A200.* They probably assumed that the A200 has it, since the A100 has it.* But, Sony left off this feature in the newer model.
Personally, I wouldn't care (it's not a feature I normally use) * I think DOF preview is* probably one of the least used features available on an SLR or DSLR.
It works by closing down the aperture iris in the lens to the setting you are going to use to take a photo.** The idea is so that you can tell how your setttings impact Depth of Field (since without DOF preview, the aperture is going to stay wide open until you take the photo).** But, in practice, it's difficult to judge DOF that way from my experience trying to use it.* It's not a feature I'd miss.
Thanks everyone. I decided to buy it. I haven't been able to try it out yet, as the battery is still charging. I'm sure it will be a fantastic camera.