1. There was such a delay between the time I snapped a picture until I could take another one. I want to be able to shoot and shoot again right away.
As Kat mentioned, but I just wanted to verify, there is actually no discernable delay with the A200 to take another shot. In single frame mode, you can press the shutter button again immediately after pressing it the first time, and snap off another photo. You can do this in succession dozens of times, with the shutter firing immediately as you press the button. You also have burst mode option, which allows you to press the shutter button down once, and fire off shots at 3 frames-per-second for as long as you hold down the button. I've got the A300, and often shoot bursts of 20-40 shots at a time, in just a matter of seconds.
Two possible explanations - you may have inadvertently been full-pressing the shutter button in a low light area (like inside a store) and with the ISO set to 100 instead of auto...which would have forced the camera to try to achieve focus in poor light at the wrong ISO setting and thereby delaying the shutter actuation (this would occur exactly the same way with a camera from any manufacturer)...or the camera you were testing had a very slow CF card loaded in it which might have slowed down the write times, which would keep the little loading light on, and might have made you think you couldn't fire another shot yet (you actually can - the camera's buffer can hold more than one shot while the card loads). Really, most DSLRs should be used with a decent speed card - I use an Extreme III with mine which isn't even the fastest available...but lets me shoot burst wildlife and birding shots with no delay and no limitations.
2. The zoom on that lens isn't very much. I know I'll want a different lens.
Absolutely - I'd buy just the camera body if I were you, and pair the camera with the 18-250 lens Kat mentioned. I've got that lens as well, and it is a wonderful lens with excellent range and flexibility, and alot of zoom (approximately 14x). It can shoot from 18mm wide (which is equivalent to a 27mm lens on a 35mm film camera) to 250 tele (equivalent to 375mm on a 35mm film camera!).
3. I couldn't figure out how to turn the flash off and still have it set for macro shots. there is probably a way to do that and I just didn't have time to figure it out.
Actually, if it works anything like the A300, which I think it does, you simply close the flash and it is automatically disabled. You can shoot macro style shots to whatever minimum focus your lens provides (remember with a DSLR, you technically need to purchase a 'macro' lens for true macro work) without involving the fash.
1. With a Nikon D40 would I be able to take pictures rapidly without much delay until I can snap again?
Sure...all of the entry level cams are very good in this regard - all are far faster than P&S cameras and can fire with no delay between shots in single mode. The Sony Alpha, Canon, Nikon, Olympus, Pentax, etc DSLRs will all be just about equals here - differences measure in milliseconds. Don't worry about brands in this regard. As mentioned, in burst shooting, the A200 will actually fire more shots per second than the Nikon - though both are adequate for 80% of photographers unless you shoot for Sports Illustrated or
National Geographic!
2. What kind of lens would be best to have a better zoom?
If you decided to go with Nikon, they have a lens similar to Sony's 18-250 lens - it's an 18-200 lens and seems to get quite good reviews as an all-around lens. It doesn't quite zoom as far out as the Sony, but has the same wide angle. Both would be much farther zoom than the basic lens you tried.
3. What kind of lens is best for macro shots?
A dedicated Macro lens. Whether it is a fixed prime lens, a zoom lens, etc, you'll want a lens that specifically includes 'macro' in the title or description. These lenses will have a 'macro' focusing range right on the focus ring, and allows them to focus in closer than most non-macro-specific lenses.
Best of luck!