So, I've researched the best first prime lens for my D40x. I came down to two choices (and a bit): the good ol' classic Nikon 50mm f1.8 (or the more expensive 1.4, as that bit) - or the Sigma 30mm.
The Nikon 50mm is a well-loved, well-recommended piece of glass. From most reviews I've read (like Ken Rockwell's), no Nikon owner can go wrong with it. It's one fine lens. And, the fact that you can buy it for less than $100, it's a steal.
The one thing that stopped me from buying the Nikon 50mm as my first prime lens is that it doesn't auto focus with the D40x. Being a newbie to DSLR photography, I knew that I still have a lot to learn and to practice when it comes to manual focusing. And, knowing that my main subjects (an active pre-schooler + a baby) will never sit still long enough for me 'til I get the focus right, I knew I needed a lens that will be easier to focus with my camera.
Enter the Sigma 30mm f1.4. It's one of the few lenses in this range that will auto focus on the D40x. There were 2 things that seemed to be against this lens: 1) Some people have said to experience some quality issues in some copies (primarily, some focusing issues). They either needed to repair or replace them; and 2) It's way more expensive than the 50mm (it costs around $350-450, depending on where you buy it).
After more research (a sample review), I decided that the 30mm, the auto focusing on the D40x, plus its low light capabilities made me think that it will definitely be worth the investment. So, I went ahead and purchased it.
I've never regretted it. It's definitely one of my favourite lenses. I especially love it for portraiture. I can take photos with this lens without using any flash even under low light conditions.
I also heard that some people use this lens when they take band or performance photos. I've never tried it myself but have seen some photos taken in these situations.
By the way, the Sigma 30mm also works with Canon cameras. All the same features, except they have a Canon mount, of course.
Anyway, there are two Flickr groups on the Sigma 30mm f1.4 that I know of: this one and this other one. They're not extremely busy, but you can find some useful reviews, samples and other discussions on this lens.
Here are some sample photos that I've taken using the Sigma 30mm f1.4: