The New Nikon D40 is the first Nikon body without a built in auto focus motor. This means that the any lens used with the D40 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:
17-35mm F2.8-4 DG (discontinued)
APO 50-150mm F2.8 EX DC HSM
70-200mm F2.8 DG MACRO
80-400mm F4.5-5.6 (discontinued)
100-300mm F4 DG
120-300mm F2.8 DG
14mm F2.8 EX
30mm F1.4 EX DC HSM