Hi and Gratz on your camera. I find most prefer the 18-200mm area for general all around use. If you are more serious you may want to look at the Nikor 80-200mm 2.8 lens or a Sigma 80-400 but it will set you back a easy $1100.00 USD. "Hood seperate on the Nikor lens."
On the other hand you can opt to get the plastic made nikor 70-300 non vr for a bit more focal. but to me the quality lacks in it but for a low cost soulution its great under $250.00 USD. if you are in daylight you can do ok with this lens. or a after market, say Tamron or Sigma and get a f2.8 if you can " A bit pricey for 2.8"
I think you may be suited for a 18-200 or 28-200, 28-300mm for a broad range of lense.
Cheers!
NikonMeister

thank you for all that information. I will work on getting one of them.

Best choice would be something small enough to compliment the small form factor of the body. If it were me, I'd go for either the 35mm f2 or the 20mm f2.8, though I suspect that neither will autofocus on the D40. But it will give you a light camera to carry around.

Thank you for that thought. I will look into it.

Widlife and sports are pretty general subjects.The lens you need will depend upon the size critters and how close you can get to them. A 300mm equivalent will work for large mammals, but 600-800mm may be necessary for birds in the wild.
Sports is another can of worms. Do you have access to the playing field or are you stuck in the stands?
You might like to research a copy of Kodak"s "Joy of Photography". It has a section on what you can expect from various focal length lenses at what distance.

Thank you for that info. I will look into it.