here's a list from a year ago. there are probably a couple more lenses which were added. but this is pretty much most of the lenses na that will AF.
List of AF-compatible lenses for the d40/x
Nikon AF-S lenses:
12-24/4 DX
17-55/2.8 DX
18-55/3.5-5.6 DX I
18-55/3.5-5.6 DX II
18-70 DX
18-135 DX
18-200 DX VR
55-200 DX
55-200 DX VR
17-35/2.8 AF-S
24-85/3.5-4.5 AF-S
24-120 AF-S VR
28-70/2.8
70-200/2.8 VR
70-300 VR
105/2.8 VR
200/2 VR
200-400/4 VR
300/2.8 VR
300/4 AF-S
400/2.8 AF-S
500/4 AF-S
600/4 AF-S
Sigma HSM lenses:
10-20mm F4-5.6 EX DC
12-24mm F4.5-5.6
17-35mm F2.8-4 DG
50-500mm F4-6.3 DG
50-150mm F2.8 EX DC HSM
70-200mm F2.8 DG MACRO
80-400mm F4.5-5.6
100-300mm F4 DG
120-300mm F2.8 DG
300-800mm F5.6 DG
14mm F2.8 EX
30mm F1.4 EX DC HSM
150mm F2.8 EX DG
180mm F3.5 EX DG
300mm EX DG
500mm EX DG
800mm f5.6 EX DG