Simple: to save money.
All older Nikon AF lenses focused using a motor that is mounted in the camera body itself - a motor turns a screw-like thing on the lens mount, and that turns the focus ring. All EOS/EF mount Canon lenses have always had motors mounted on each lens that the body controls electronically - and, as it turns out, there are some advantages to doing it this way.
So, the difference between AF-S/AF-I/Sigma HSM lenses and all of the older Nikon AF lenses is the fact that there's a motor mounted on the lens for the camera to use, and, as such, the camera dosen't need to use it's internal AF motor. Since AF-S, etc. lenses are becoming more common, Nikon saved money by simply not including an AF motor on the D40 at all. It can still focus the lenses that have a built-in AF motor, just not the ones that rely on the camera body's AF motor to work.
The problem with this is that almost all of the AF-S lenses seem to fall into one of two groups: very cheap lenses designed to go with new cheap DSLRs (like the 18-55mm and 55-200mm you've mentioned) or very expensive lenses that are taking advantage of the faster focus speed and other benefits of having the focus motor mounted inside the lens (like the Nikon 70-200mm f/2.8 AF-S VR, which sells for ~$1700 new). Most lenses in between (such as the 50mm f/1.8 and Tamron that Guitarsoup suggested) still rely on the body AF motor simply because Nikon/Tamron haven't gotten around to updating them yet.
At any rate, I honestly think that if you get a D40 + 18-50mm Nikkor + 55-200mm Nikkor, you'll be quite happy. The 18-55 will work well for wide angle landscape shots, and the 55-200 will get you zoomed in quite a bit to take some good wildlife shots. Obviously, there are downsides to buying a D40, but you can get great deals on it if you look around. For example, if you look here:
http://www.slickdeals.net/permadeal/12276/Nikon-D40-Digital-SLR-Kit-with18-55mm-lens---Nikon-55-200mm-zoom-lens-549you can get a D40 + 18-50 + 55-200 non-VR for about $550.