Hi Mark,
Are you starting out? Or do you have a film 35mm camera? If you do you may want to go with a camera that can use your old glass.
If starting from scratch, then the kit lenses are a good starting point. They usually have a wide zoom range, like 18-70, and they are "free", like a "free lunch". I dont think the D40 is available without the kit lens in AU. The kit lens on the D40 is very basic, but an ok starting point. The D70s kits are very good value at the moment. THe D40 I had a play with, and a brief review
http://www.dslrusers.com/viewtopic.php?t=22865&highlight= came with a 18-55 lens. The D70s comes with a longer lasting 18-70 (a bit longer zoom also).
If you are set on the D40 (thats ok too) just be aware that it may only be available with newer lenses.
One lens zoom range that many find extremely useful, is 18-200mm. Sigma make a nice one for about $450 from Hong Kong. The nikon one is at least twice the price.
The 18-200 would be a fabulous "starting point" kit lens.
You need to also think about future items. Is this lens going to be your only purchase, or do you see yourself building up over time? If so, perhaps start with a 12-24 Sigma, then later get a 70-200 or somehting.
You need to give us a little more info, what do you want to take pictures of? As the environment, subjects, and your intension drive lens advise the most...
And finally, another GREAT starting point, is the good ole 50mm prime (available in a 1.8 or 1.4). Great for indoor, low light, and many other instances.
From there, you could work out f you want wider, or tele...
give us some more info...