Hey Laura,
Happy Birthday! I'll be turning 40 in 4 weeks too! I've also been thinking about this. You didn't say much about what you like though. What are your hobbies/interest? Here are some of my ideas:
Group parties:
1. Minute to win it party--I love the show and think it would be so fun for a birthday party
2. Food/culture themed party (whatever you like) for example: 70's party complete with fondue, disco, etc.
3. Murder Mystery party--this is fun! I did it last year for my dad and SIL's birthday.
4. Four decades party--have each of the past decades represented in decor, food, games, music, etc.
In regards to gifts:
1. New wardrobe
2. Makeover--get a new haircut, color, new makeup look, etc.
3. Entrance fees to races if you do them
4. Tickets to a big event or concert that you want to attend