Hi Jamie, welcome to the Cameralabs forums!
If you're shooting in low light, a nice bright lens is going to be very useful. So whatever system you decide upon, also look out for a 50mm f1.8 lens - they're affordable and gather much more light than standard kit zooms.
The D40 and 400D are both great cameras, although you should also consider the D40x (a 10 Mpixel version of the D40), along with models like the Olympus E-410 and E-510. Have a look at our Budget DSLR Buyers Guide
for some comparisons...
You'll notice some cameras (and lenses) have anti-shake - this is really useful for taking photos in low light, but the subject itself also needs to be still - so don't buy it thinking it'll help with your concert photos! (It is useful for other stuff though)
You should also pick up each camera in person to see which looks and feels best to you - even the noises it makes are important, so press the buttons and see what you think...