I have both, and yes, there is a BIG difference between the D40 and the D200. Even though I have a D300, I still use both of the other cameras for different reasons.
If you're looking to buy a D200.....congratulations! Even though it's discontinued and considered 'obsolete', it's still an amazing camera. If it's got less than 10,000 shutter actuations, I'd say buy it. I can even send you a Setup Guide to set up the 4 shooting banks that are available in this camera. This camera does not have video capabilities like some of the newer Nikon models, so know this going in. I personally don't care for videos, so it was never an issue for me. So....buying one, you shouldn't have to pay more than $500 for a D200. I've even seen some going for around $400 Cdn.
One thing I can positively tell you......you will NEVER be sorry you bought a D200! Let me know when you get it.....and happy shooting!