The D40 is a nice camera with a few caveats. Most importantly. It does not have an internal focus motor, so you must buy lenses that have motors in them. Some of Nikon's best lenses for concert photography do not have a motor. Also it does not have a LCD back light, which does not sound like a big deal until you are trying to see what your setting are in the dark and then it really sucks.
I'm a Nikon shooter and if I were starting from scratch I'd also take a very close look an Canon's offerings if concert photography is something you will be doing much of. Currently Canon's sensors tend to have better low light performance
I'm kinda late to this topic, but...
Good advice... and yes I've heard the same about Canon's low-light performance.
However, I discovered something surprising this weekend with one of Nikon's newest digital SLR lenses, the consumer-grade AF-S 55-200mm f/4-5.6 DX VR. (For those who don't know, AF-S means the lens has a built-in ultrasonic motor, so it'll work on the D40/D40x which doesn't have its own motor. All the Nikon lenses designed for their DSLRs have their own motors, but very few older lenses do, and those are usually quite expensive.)
I haven't done a comparison, but depending on how you look at it, it's possible that it's a better lens in some ways for concert photography than the ubiquitous 80-200mm f/2.8 ED! The difference between f/2.8 and f/5.6 is two stops, but the VR lens allows you to shoot at least THREE stops slower. Another factor is that shooting at f/2.8 on what is effectively a 300mm lens is going to produce very little depth of field and be a little soft in the corners, which could be very good or very bad. It's easy to fall in love with fast lenses, but like everything else we're making a compromise in the processs. Don't get me wrong though, I love fast lenses like everybody else.
Oh, the best part... the 55-200 f/4-5.6 is only $250.
My advice is that anybody shopping for a long lens forget anything that doesn't implement a vibration-reduction system unless you want to shoot from a tripod. Where Nikon "digital" lenses are concerned, the best "concert" lens (and all-around lens) would be the 18-200 f/3.5-5.6 DX VR, but nobody has them in stock, so the 55-200 f/4-5.6 becomes a good choice even though it doesn't go wide. If you want to go really wide, the Nikon 12-24 f/4 DX is sweet.
Take a look in Rig Pictures, WSP @ Radio City for some examples. My pics were posted by both Craig T and me.
-Frank