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Depends on what your wanting, if you want something more video based, you'll probably want the D5000. But, if you want something more photography based, you more likely to want the D3100. I'm going with the D3100 instead of the D5100 because it looks more video based.
Getting a Nikon 124res Camera flash will give you great light in very dark settings.
Nikon flash cameras are usually known to be expensive. One of the last models to come out, the Nikon SB-800, can cost in the neighborhood of up to $350.
Make sure that it is not on the no flash mode (the circle with a crossed out flash)
Yes. Be aware that it is a manual flash, so you have to set the power settings manually.
The external flash should come with an adapter so long as you make sure that it's designed for your DSLR.
Yes. The Nikon D40x has a hot shoe on top of the built-in pop-up flash. Be sure to check the compatibility of any external flash unit that you attach to the camera. Note: The question was changed after the first answer was posted, so that the two do not match now. An approach to the new question is that a Nikon D40x is an entry level DSLR, and you may want a flash in that price range. Suitable units are marketed by Nikon, of course, and by Sigma, Sunpack, Vivitar, and Quantary. Features vary with specific models, so you will want to investigate the features-per-dollar for the various units. [spelvin]
The Nikon SB 600 is a compact and versatile Speedlight for expanded creative lighting control and remote flash photography. The benefits of using the Nikon SB 600 is precision flash control, auto power zoom coverage, and flash value lock.
The 430EX external flash seems like it would be the best candidate for the external flash for the Canon digital camera.
What you will need to do is look on the arrow keys, there should be a flash symbol on the up key. Press it and the flash mode menu will come up. Use the arrow keys to highlight the flash symbol with the crossed out circle on it. This will turn the flash off.
Flash battery grip different lenses
Yes including: Automatic Balanced Fill-Flash (with AF Nikkor lenses/Standard TTL Auto including Programmed TTL Auto.