They're small and shit tons better than any point-and-shoot... though they aren't that small. Get a short lens though, like the 50mm f/1.8, and the D40 can be sick- you don't need pro SLRs to take good photos.
"one time a gaper asked if i could spinny tornado corkscrew ollie so i threw him off the chair. true story"~shmad
"No poles is like getting your dick blown by a guy. It might feel ok... but it's still gay."~Tokemon http://tiny.cc/free-karma
to op, anything bigger than like a canon s90 is too big to put in your pocket, so you might as well go with an entry level slr if you have the money. If it has live view, it will be just like a point and shoot, but you also have a lot more options. Ik you want a small one, but the 4/3 market is really small right now and there is no like flagship or perfect on yet imo. also, you will need a bag for lenses or flashes, so it sounds like you would be best off with an slr
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