I'm afraid I have to disagree on this. That was my guess before I tried that too. Here's the relevant part of the log for my first configuration, with `try_files $uri =404` only:

2012/06/25 21:34:22 [debug] 30604#0: *335710 open index "/var/index.html"
2012/06/25 21:34:22 [debug] 30604#0: *335710 stat() "/var/index.html" failed (
2: No such file or directory)

And btw, this is on Nginx 1.2 64bit (Ubuntu). Why is it happening?