The next natural step would be a D90 I think, you can shoot in RAW, it has better ISO capabilities and it feels lovely in the hand.
Like others have said, you do need to look at why you want to upgrade. If it's just change, then that's fine, but don't expect the next one to take pictures this one can't (to a certain degree).
I had a D40 for about a year, I was happy with it and didn't feel limited in any way. I upgraded to a D90 and the whole thing felt a lot better (slightly bigger and better access to controls). I think it helped me take my photography to the next level. Since then I've upgraded a few more times and really these later upgrades have been due to the limitations of the old camera (usually ISO performance).
If you are just looking, check out the D90. Also, if you've got time to save, check out the D300 - bit of a jump, but might save money in the long run as you'll only want to upgrade from the D90 at some point.