55-200mm VR is a good lens with sharp optical although it feel so light and plastic. But no doubt 70-300mm VR is much more inferior than it but cost 2 times more. I think you should get a used copy of 55-200mm first, snap few pics and then from there, see if you need a longer reach of 300mm or just 200mm will do for you. Just my 2 cent!

Congrates to you in getting the D40, do snap lots of pics and share with us, ok!
New Nikkor 55-200mm cost around RM850, so a used one should cost about RM700+ gua.

For flash light, if you have the budget, obviously go for the best, sb800. You can use it for CLS setup later since the D40 din have the commander mode. If you want a light camera, just normal family and friends' picture snapping, sb400 will do well for you too. Well, that'll leave the sb600 in between with better GN than sb400 and lesser functions that wont matter much compared to sb800. Just my 2 cent!

No much different lah, just the commander mode, stroboscopic light, lesser GN and the extra battery compartment, that's it, I think. You try search online, you can find a lot forum discussing bout this matter, comparing sb600 and sb800.

Yeah, sb600 is basically very enough. But if you have the bullets, go straight for sb800, so you wont be tempted by it again!