What should I know about camera lenses before I purchase one?

I currently have a Nikon D40 with the standard 18-55 mm lens, and I'm looking forward to purchasing a new lens for it. I mostly enjoy taking pictures of nature and birds (basically of stuff outdoors).

Where is a good place to purchase camera lenses?

Added (1). Mind you, I don't know much about cameras, I just enjoy taking pictures.

Prime lenses don't zoom, but they have a higher quality photo than your kit lens.

Telephoto lenses are usually better quality than kit lenses and they zoom further, but the loose close range use. You'd have to back up to get a shot you'd usually easily get with your kit lens.

Distortion lenses, such as a fisheye, may add some fun to taking photos.

It all really depends on what you take photos of. Prime for getting close to what your shooting. Telephoto for keeping away from your subject. Distortion for just shooting for fun and different pictures.

You may want to consider the 55-200 DX VR (vibration reduction). Good optics, not very expensive and it will auto focus on your camera. I've used one on my D40 for years. For birds, it's a bit short, but by far the best thing to do is set up a blind near a feeding area, allowing you to get much closer. Setting up a cardboard box a couple of days beforehand is much cheaper than buying a 500mm (or longer) lens. I'll let you google as where to buy.

This picture was taken with a D90 and 18-200mm lens zoomed to 200mm. It is actually cropped a bit, so it is similar to the view with about a 250 to 300mm lens. The raven is a pretty big bird. Although the ravens are not exactly tame, they probably let people get closer than most. So the moral of the story, is that it usually takes a very long focal length to get really good bird pictures.

The D40 doesn't have an AF motor, or a CPU, therefore:

You need AF-S/AF-I lenses (or for non-Nikon lenses labelled as "Motorized"), for the lenses to autofocus. Nikkor lenses marked AF will not autofocus.

Pre AI/AI/AI-S lenses don't meter on the D40. You need a CPU lens for metering and auto exposure, these are AF-S/AF-I/AF/AI-P lenses.

Your D40 has a DX sensor, DX lenses are designed for your sensor size, but FX lenses will work equally as well. Because of the DX sensor, you should multipy all focal lengths by 1.5 to get the expected field of view.