Tethering rocks!!!! And yes I know the D80 and the D7000/D7100 can tether. I am not sure of the D40. I use Apple Aperture to tether. If you are on a Mac you can also get Sofortbild, and it is free. Lightroom will also do tethered shooting. I think CaptureNX will tether, but I am not sure.
I even shlep a little barstool with me to set the Macbook on when I am on a location shoot. I love how I can see the images on the big 15" screen. I have had a number of images when I saw them on the camera LCD I thought they were good, but when I got them into the computer they were off bad. I don't have that on the computer. It is also easier to show others that way too. And you don't have to dump the SD card later on because they are now already on the computer.
I have thought if I get a D7100 at some point that I would run an Eye-fi card in one of the slots. Then I would shoot RAW to one slot and small JPGs to the Eye-fi slot. i would then set that one up to be tethered to an iPad. That way I can get a larger screen image on something that is more portable with better battery life than my Macbook. Later I can transfer the RAW images to the MBP for editing.
It will be interesting to see what the D5300 is capable of with the built in Wi-fi. It would be cool if you could shoot RAW to the SD card and then Wi-fi to an iPad in real time.