If cost is not a factor...
Nikkor 105mm f/2.8G ED-IF AF-S VR. One of the Nikon guys here on the board has one, I think its Gdad. Awesome lens. Goes for around $850.
Thats also about the only Macro lens that will auto focus with the D40. The 60mm f/2.8 is another awesome lens, but it is AF and will not auto focus on the D40.
There are 2 Sigma macro lenses that will auto focus on the D40
150mm 2.8 EX DG IF HSM APO Macro ($600)
180mm 3.5 EX DG IF HSM APO Macro ($660)
There a many other great macro lenses out there, Tamron 90mm f/2.8, Sigma 105mm f/2.8, Nikkor 60mm f2.8, but like I mentioned they wont auto focus. Not really a big deal when doing actual Macro work (as much of it is done in manual focus because you are so close), but if you want to use the lens for other things then you run into auto focus issues.
But you said price wasn't a factor. If focal length isn't a factor either, then the Nikkor 105mm f/2.8 is the way to go.