The New Nikon D40 and D40x are the first Nikon body without a built in auto focus motor. This means that the any lens used with the D40 and D40x will need the auto focus motor built into the lens. These lenses are called AFS lenses. Sigma has a large line of compatible AFS type lenses. Most of these lenses have the HSM motor in them with the Exception of the 80-400mm f4.5-5.6 EX DG OS (optically stabilized).
The following lenses are fully compatible with the Nikon D40 and D40X:
18-50mm f2.8 EX DC HSM (discontinued)
17-70mm f2.8-4.5 DC HSM (discontinued)
18-50mm f3.5-5.6 DC HSM (discontinued)
55-200mm f4-5.6 DC HSM (discontinued)
17-35mm F2.8-4 DG (discontinued)
100-300mm F4 DG (discontinued)
180mm F3.5 EX DG (discontinued)