As a D40 owner, i was somewhat disappointed to find that i was limited by which lenses i could buy. Thankfully most of the zoom lenses that Nikon produce are AF-S and thus will autofocus fine.
Now, i was sorely tempted by a 70-300mm VR lens, but the price was simply to high to justify (as a keen amateur!). So, i ended up getting one of these instead - and it's possibly my favourite lens at the moment (i also have a Sigma 28-70mm f/2.8, Nikon 50mm f/1.8 and the Nikon AF-S 18-55mm kit).
I didn't have much chance to mess around with it at home (not much to shoot) so i took it with me to London this week to see how it performed. The first thing i noticed was how sharp my pictures were coming out. I've had a lot of use focussing manually with the 50mm, so nice automatic focussing was a pleasure! It's not the fastest in the world to focus, but it's good enough to get a bird in flight without too much of a problem.
The actual zoom range is great, if you hunger after something a bit longer than your kit lens then you won't be disappointed. With a zoom of around 4 times, if you own the 18-55 kit lens you'll have 10x optical zoom to play with, (200/55 = 3.6). Whilst the actual magnification isn't a large number, the actual focal length trounces most consumer cameras. Put simply, i was getting a bit of flak from my friends about "only having 3x optical zoom and not being able to 'get in further'". This lens shut them up nicely.
Get VR if at all possible, it compensates for your hand shaking slightly when you take your photos and lets you get down to slightly lower shutter speeds/smaller apertures if you need them.
Size wise it's small, a bit longer than the D40 kit lens and it comes with a handy lens hood. You'll need to get a clear filter to protect the front element - it'll take a 52mm diameter filter.
If you can afford it then i'd say get the 70-300, but this is stonking value for money!