Both the D200 and the D40x are fine cameras. The difference is the greater amount of flexibility and control that the D200 provides, over that available in the D40x.
Neither camera will make a better photographer out of you.
Digital cameras (all digital cameras) offer features and capabilities not possible with film cameras. (I still haven't gotten used to the fact that I can change the ISO setting in the middle of a 'roll'.) If you come to unsderstand and are prepared to take advantage of the additional features and capabilities that the D200 offers, then it will be money well spent. Otherwise, you'd be better off spending your money on the D40x (or the D80) and a good lens or two.