For a Nikon D40 with AF-S lenses, look for extension tubes that include electronic contacts. Those contacts pass lens-to-body communication, which is what you need for AF-S compatibility and other automatic functions.

From the answers here, two commonly mentioned options are:

• Zeikos extension tubes: reported to work with AF-S lenses and transmit the needed information.
• Kenko Extension Tube Set: also well regarded for retaining autofocus compatibility, with a reputation for better build quality.

Both sets are commonly sold as 12mm, 20mm, and 36mm tubes that can be used individually or stacked.

One practical note: sturdier tubes can matter if you plan to mount a heavier or longer lens on them. In general, if a tube set is described as having electrical contacts for Nikon F-mount, it should be the type you want; purely mechanical tubes will not preserve electronic functions.