Hi Steven, welcome to the Cameralabs forums!
Right, first things first: those squiggly lines are because your shutter speed is too slow without a flash, so the camera's wobbling and the lights are trailing during the exposure. A stabilised lens would minimise this, but your performers may still be blurred as they too will be moving.
So if you don't want to use a flash - or the flash doesn't reach the stage - the only way to increase the shutter speeds is by increasing your ISO sensitivity - this is something which will work much better on a DSLR - probably 800 or even 1600 ISO for dim conditions without a flash.
The D40x and D80 are both great chocies, but NEITHER has built in anti-shake - and both have the same minimal anti-dust features. So if you want anti-shake on a Nikon DSLR you'll need a lens with VR, like the eternally popular 18-200mm VR.
Lenses with brighter apertures are also invaluable in dark environments as they gather more light - if you go for a Canon body, I can highly recommend the 17-55mm f2.8 with IS (that's anti-shake). It ain't cheap, but it's an awesome lens to have in these conditions.
You might also want to try an external flashgun, but you'll get nicer results using your natural concert lighting and shooting without a flash at high ISOs instead.
So maybe a Canon 400D / XTi with a 17-55mm f2.8
Or a Nikon D40x with a Nikkor 18-200mm VR.
With the bodies set to 800 or 1600 ISO.
If you're interested in a camera with built-in anti-shake and excellent anti-dust, the new Olympus E-510 is pretty good... see:
And the price of this advice is you must come back and show us concert photos you've taken with you new setup!