There are several good ones, the most respected are these: Nikkor 12-24mm f/4 ($900) Sigma 10-20mm f/4-5.6 ($450) Tokina 12-24mm f/4 II ($450)
Both the Sigma & Tokina are considered about as good as the Nikkor at half the price. The one I'd recommend is the Sigma 10-20 for its ability to go to 10mm (and it's what I personally use). There are now 2 versions of the Tokina, and only the newer (version II) will AF on D40.
Other interesting choices are Tokina 11-16 f/2.8 and Tamron 10-24 but AFAIK these don't AF on D40, but that's maybe not critical for wide angle.
The sigma 10-20 will focus on your D40 and does some pretty impressive images. (I shoot with a D80, and though i havnt shot any on the D40, my wife's used it on her 40 some.) Here's a thread going in the 3rd party lens forum that has a few comments about the sigma.
I think you will find that most of the ultra-wides have their advocates and are all quite good, at least as long as you stick with Nikon, Sigma, Tamron and Tokina. The Tokina 11-16mm f/2.8 is on my list because everything I've read indicates that it is the best of the third party ultra-wides and owners seem very pleased with it. I will trade away 1mm of focal length at the wide end for a faster, constant aperture lens. The longer end only being 16mm is also not a problem since my "normal" lens is a Tamron 17-50.