Why do you need it?
Serious question.
You need to ask yourself why do I need it, and what will I use it for.
For example, I have a D80 (virtually the same as D40) and both are amazing cameras. It is my first DSLR, and after years of some very nice SLR's, DSLR is like a completely new way to take photos. You will be pleased. But I digress. In my case (no pun intended, well maybe a bit of one) I needed to be able to literally throw the camera in a car, or boat without worrying it would be crushed or damaged. I did not need to carry a whole bunch of stuff I would not use in the field, just no point. I have the D80 with one lens (18-135 which is like a 50-200 for a SLR) a 'Lenspen' and a spare SD card. I have the battery pack (MB D80) attached which has two batteries so I always have a back up attached to the D80. That's it. I know from experience that all the other stuff) filters, cables etc. are quite fine at home, in fact safer at home. In the field you won't all of a sudden need any of that, so why carry it? If you are going somewhere where you do need a certain item, you will take it with you - right? So keep it simple, and keep it light. The more crap you put in the bag the less likely you are to carry it.
My first bag was kinda like the one mentioned above. You could put lots of stuff in it, it was not hard and there were pockets, and compartments for everything. I almost never used it. My second was very small and I did use it. Problem was it soft, and after a filter got busted that was it for soft cases. My third was a giant aluminum number that kept several lenses, flash, and odds & ends. It was great but not water or dust proof, and weighed a ton. I rarely if ever used the all the stuff in it. So I learnt from this and my latest case is definitely the best so far for my needs.
The case I use is a Pelican 1300. It is very strong, and water, and dust tight. Also has a pressure relief so you can take it planes. One un-intended benefit of this case that I have used twice now, is I can stand on it for extra height! And I'm a heavy guy. It is also really nice to know I can throw the thing on the ground, without having to worry about breaking anything. If you hike or rough it at all - this is a good thing!
In the field I take the camera out, wrap the Nikon strap tight around my wrist twice (in case I get bumped or drop it, and lock the case up to keep the dirt out.
You mention Bass-pro shop. Don't knock them, they often have really great cases that might be fine for cameras. They might even carry Pelican cases.
So in short, ask yourself why you need one, and what will you use it for. You mentioned that your Cannon was not in a bag, so maybe you don't need one at all? Figure out what your relistic needs will be, and then make a decision. And if you save a bit of money on the case - use the cash for an extra battery.
Good luck, and let us know what you end up getting.
P.S. One thing about DSLR's that you might not know, is unlike film which is always new (sort of self cleaning in a way), the image sensor just sits there and gradually collects dust. Take a shot now and again of clear sky to check for dust on the sensor. Cleaning it is a another topic....
