You'll need to get one that fits the inner lens size. That number is usually marked on the lens on the inner area next to the glass as a ## with a circle and a / through it. Common sizes are: 46, 49, 52, 55, 58, 62, 67, 72 and 77mm.
If it is the 18-135mm lens it might be filter size 67mm.
If it is the 18-55mm lens it could be the 52mm filter.
Lens caps follow the same size as the filters.

Most all HD camcorders also have a SD setting.
The image quality should look a bit better due to it being digitally captured and it is a direct playback. Also the HD sensor is going to have more lines of resolution information giving you a better, sharper image.

There is a very large selection of lenses that work with the Canon 40D. Canon lenses and many lenses made by other manufacturers such as Sigma and Tamron.
If it is a EF...not EF-S...mount lens it should work fine.
There might also be some lenses designed for full frame cameras that won't work on the 40D also.

Any of the entry level cameras from Canon, Nikon or Sony. All D-SLR cameras be it an entry level to high end pro have a full Auto setting making them a point-and-shoot camera.
Compact cameras take a longer time taking the photo compared to a D-SLR.
Look at the Canon XS, Nikon D3000 and Sony a230.