The ThinkPad R40 may be IBM's 'low-end model', but it is still a very good machine. These are the major differences:
Size - The T40 is about 1" thin and weighs 4.9 lbs with battery and optical drive. The R40 is 6.3 lbs and 1.5" thin or so with optical bay and battery.
Materials - IBM uses magnesium alloy and titanium composite in the T40, while the R40 is constructed of standard ABS plastic. That being said, the R40s I have seen are very sturdy due to their thickness. 
Screen - T40s have a 14" screen. R40s can have either a 14" or 15" screen, although the 15" screen makes the machine 1.6"+ thick.
Battery - The R40 was designed around a Pentium 4-M platform, and required a large 8-cell battery to keep the P4 fed. When Intel launched the Centrino platform, IBM simply put a Pentium M motherboard in the R40 chasis. The T40 gets about 4.5-5 hours of usage on its 6-cell battery, but the R40 can last 6 or more hours due to its large 8-cell battery.
Firewire - the R40 is targed more at home users than the T40, hence the inclusion of a FireWire port. 
Overall I like the R40. It has the same keyboard as the T40, and like the T40, it has a touchpad and a trackpoint. I went with a T40 because I wanted a lighter machine, didn't care about the lack of a firewire port, and wanted a 3-year warranty. Most R40s come with a 1-year warranty, and to upgrade to a 3-year brings the price of the machine close to that of a T40. 
Hope this helps! 
 One word of caution- I strongly recommend buying direct from IBM.
 
One word of caution- I strongly recommend buying direct from IBM.  You may save a bit by buying through third parties, but if you buy from a third party you can't return the machine if you don't like it or it turns out to be a lemon. You will pay more if you buy from IBM, but you have 30 days to evaluate and return the machine if something is really wrong with it (and you don't want to go to the hassle of having it fixed).