Well, what do you want to know? It
is a great starter DSLR. For something cheaper than a few high-end point-and-shoots, you get the full control and high-end features of a DSLR. I don't think you'll be sorry you bought it. In case you're wondering, yes, I own one.
Consider this essay:
http://www.kenrockwell.com/tech/notcamera.htm
It really got me thinking. To summarize, it doesn't matter what camera you have. You can have a $50 DS6200, $500 D40 or a $5000 D3, but it mostly comes down to paying for convenience, build quality and performance.
I think extreme absolute tone should be taken with a grain of salt -- there
are some photographs, albeit far and few between, that require certain high-end functions to capture properly -- but as a generalization, he's right.
Practical examples...
The D40 has only three AF areas, others have tens of AF areas. This is easily worked around by focusing on the subject you want, holding in the focus lock button or switching to MF and then recomposing. It's much quicker than it sounds. Personally, I think it would be annoying to have so many AF areas. The image through the viewfinder in the D40 is very clean and undistracting.
The D40 will only AF with a handful of existing AF-S and AF-I lenses because it's the first Nikon body made without a screwdriver focus motor (the kit lens included
is AF-S). No big deal, manual focus is good a good practice anyway and it means that the D40 is the smallest, lightest DSLR you can buy. My entire camera bag, with the D40, three lenses plus filters and accessories is very light and easy to carry.
The lens included with the D40 is designated as AF-S, but's not the "true" AF-S that you get with their professional-grade lenses, so it's a bit louder and slower. Still, though, it's fast enough most of the time, and when it's not, it's just a matter of having a bit of forethought to prefocus.
So, yes, there are a few things that you will sacrifice with the D40 -- being the cheapest DSLR on the market -- but, by and large, those sacrifices are ones of convenience that will very rarely affect the image quality that you are capable of as a photographer.
Hope that answers your question
EDIT: You
may want to consider a D60, if only for it's anti-dust system and ISO 100. Those are the only things I wish the D40 had (and maybe screwdriver AF, which the D60 doesn't have either). Again, however, nothing that will affect your image quality when cared for properly, only the convenience of not having to clean your camera every once in a while.
Since you're not currently invested in any SLR system, you might consider the Canon Rebel / 300D or the Rebel XS. All Canons have an anti-dust system as I recall, so it's something to consider.