The live view on the 40D is definitely an advantage when taking macros. 

The real problem comes with lens choice.  
Once you have seen what the camera is capable of capturing you will want that quality in all your images and that is where good quality lenses will start to become a must have.

Good lenses for dslr's are expensive .

It makes sense to buy the best quality you can afford to start with rather than something you will want to upgrade in the near future costing you more money.

My suggestion would be to get a general walkabout lens to start with - one that will always be useful.  My personal choice would be the Canon 17-85 IS . This lens is wide enough to use in landscape photography, good for portraits and general use, has a close focusing range of 4", has image stabilisation for shooting in low light and would form the basic lens of a system  to build upon. There are of course other good lenses in this range and you could consider some of those too, using the Canon as your benchmark to judge if they are better or worse for what you want to do with it.

To get true macros from your new camera you would need a dedicated macro lens and some of those have been mentioned above. Canon, Sigma and Tamron all make good lenses in this class. 

Now comes the expensive one because good quality telephoto lenses cost. To shoot wildlife you will need something around 400mm or more. The one used by many amateur wildlife photographers is the Canon 100 - 400  IS and this should be the benchmark by which you consider other lenses.  There are other good ones, but none are inexpensive  !

 

And every one said, 'If we only live,
We too will go to sea in a Sieve,---
To the hills of the Chankly Bore!'
Far and few, far and few, Are the lands where the Jumblies live;
Their heads are green, and their hands are blue, And they went to sea in a Sieve.

Edward Lear
http://www.nonsenselit.org/Lear/ns/jumblies.html