I would go with the Sigma 150mm or Nikon 105mm VR. As has already been mentioned, these two are the only ones that will AF on the D40X. And although most people (including myself) use manual focus when doing macro work, the macro lenses double up as really great general use prime lenses where autofocus is much more usefull. As for the Sigmas' build quiality being 'wobbly', mine is far from wobbly. Its rock solid, weighs a nice reassuring amount and is sharp as hell.
Ps. Look at the links in my Sig (Click on the sig image for my website) for example shots taken with the lens. All of the insect macro shots where taken with this lens, along with half the bird shots and the black and white miner shot (Although this is a fair old crop).