I found this in an archived message, and if accurate it means that
you have to make sure that you consider only Sigma's hsm lenses.  As
for what "hsm" means, my guess is "high speed motor".

. . .

is anything a salesperson says true? :)

the only lenses that will autofocus are nikon afs and sigma hsm lenses
(and for some reason, the sigma 80-400os which is not hsm).

here's a list:

<http://forums.dpreview.com/forums/read.asp?forum=1034&message=21699045>

in the range you are looking, there are the following lenses:
nikon 70-200vr/2.8
nikon 70-300vr/4-5.6
nikon 55-200vr/4-5.6
nikon 55-200/4-5.6
sigma 120-300/2.8
sigma 70-200/2.8 macro
sigma 100-300/4

i highly suggest getting a lens with stabilization, and the 55-200vr is
quite inexpensive - around $250.  the non-stabilized version of the
55-200 is only $80 or so cheaper, and stabilization is well worth the
$80 difference.  for more money, the 70-300vr is longer and the
70-200vr has a constant f/2.8 aperture.

there are also rumours of several new nikon lenses being announced
sometime soon.  it is reasonable to expect that they'll all be afs
lenses and will autofocus with the d40/d40x.  of course, it is not
(yet) known when (or if) the rumour is true and what it might include.