You have two choices: use lenses for full-frame cameras (EF lenses), which can then be used on any Canon camera, or use EF-S lenses that are optimized for the smaller sensor size of the 40-D.
For the longer focal lengths, I've chosen to use full-frame lenses like the 70-200. That takes advantage of the sensor size (the "telephoto effect" as you call it).
For normal lenses, either zoom or fixed, there are fewer options. I have a 17-35 and a 16-35 zoom, but they are not really wide enough nor long enough for a standard zoom (they are approximately 28-55mm equivalent.) My 24-70 is too long (38-112mm) for a normal zoom. So I ended up buying the Canon EF-S 17-55 f/2.8 IS lens, optimized for this camera. Great lens, equivalent to a 28-90 or so. It's fast, sharp, and the IS is terrific. I wish my 24-70 had IS.
Wide angles are the toughest. Really, I think the only option is the Canon 10-22mm, which is an EF-S lens with an equivalent 16-35mm field of view. It gets good reviews, though I don't own one. There are lenses from other manufacturers that also get decent reviews.
