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.
See:
http://www.cameralabs.com/reviews/Nikkor18200mm/
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.
See:
http://www.cameralabs.com/reviews/Canon1755EFS/
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:
http://www.cameralabs.com/reviews/OlympusE510/
And the price of this advice is you must come back and show us concert photos you've taken with you new setup!
Gordon