I would suggest going for SB-600 as well

It depends on the camera you are capturing with. If you use the D3 and capture it, sure can wan! Otherwise just make sure park the camera on a tripod and focus in the area. Max burst speed!

Its a matter of balancing your aperture, shutter speed, ISO and flash all together. How did you use your flash? A pop up flash?

Thanks for the examples, in situations like this if you really want to get the ambient background to be correctly exposed then you have to lower your shutter speed as well as your ISO. So yes, shooting at ISO 800 will definitely increase the ambient lighting. You can probably stop down to around 1/30 shutter speed without having significant handshake. Just need to know how to handle it carefully and use proper breathing techniques (e.g. click on the shutter when you breathe out, don't hold your breath!).

For the D40, ISO 800 is still usable as long as you expose for the image correctly. Most of the time, even the noise when printing out the image into 8R size, it isn't noticeable. Don't be a pixel peeper and see everything in 100% crop.

A flash would be handy to use but in a concert where spot lighting is available on the performers, then the flash might not be needed. Having a tripod around is a little too bulky in my opinion. Prevents less flexibility. Best to walk hand held. At least you don't bump your tripod into other people.