Holy bump, batman!
The only real issue I have with the D40 is handling (though it's still better than Canon's Rebels), though Nikon
could easily fix that with firmware. DOF preview would be nice, but I can live without it. In-body AF would also be nice to have, but I'm given to understand that the system is slow and noisy and that even the cheapest AF-S lenses are better.
The overriding problem here is that Nikon's biggest strength is also it's biggest weakness: compatibility. Nikon's total compatibility (metering, AF, etc.) is hindered by their quest for mounting compatibility.
Sure you can mount any lens since the mid-70's on Nikon's newest bodies, and even lenses as old as 50 years with some modifications; and you can mount some new lenses on old bodies as well. On the other hand, you practically need a college-level textbook full of charts to know what will and won't be compatible between a given lens and body (AF, AF type, metering, metering type, EXIF recording, etc.).
With Canon, an EOS lens is an EOS lens is an EOS lens, so everything works on everything (save for EF-S/EF, but that's irrelevant anyway), no charts to bother with. As a result, they have a big selection of affordable lenses to choose from for any body. Too bad Canon bodies have the ergonomics and comfort of a brick.