What Range Junkie said. A 3-9X40mm is, in my opinion, unbeatable for hunting deer. About 6 years ago, maybe, I purchased a new Model 70 Winchester Featherweight, and topped it with a 3-9X40mm Bushnell Elite 3200. I've tried several scopes both before and since, and I would say for the price, the Elite series is tops. If you're feeling rich, go for a higher up series than the 3200, but the 3200 is just fine the way it is.
Here's the thing about scopes. Believe it or not, often when you're in the field hunting, you will NOT touch the zoom on your scope. Occasionally if I'm having a bush pushed my way, and I know I'm looking at a shot at least 150 yards away, I'll crank my scope up to, maybe 6 power ahead of time. But usually, you'll set your scope on 3 power, and forget about it. This gives you enough zoom with absolutely no problems whatsoever, out to 150 (or even 200) yards without worrying about it. You WILL want to keep your scope on 3 power, because if you end up spotting a deer through the bushes only 45 yards away, you'll need all the field of view you can get. And contrary to what many new hunters think, the vast majority of your shooting will be done within 150 yards.
A 40mm lens is quite good, because as Range Junkie mentioned, they are low enough so that they remain comfortable to use, and offer several minutes more shooting time in the day than the naked eye anyway. Also, they are often considerably cheaper than the 50mm and bigger lenses. That being said, I do have a 10-40X56mm scope on my varmint gun. I only ever use the 40 power on the range, and only then if I'm feeling quite daring, but most of the time I use it on around 15 power. This is just about perfect for me for shooting at coyotes 200 yards out, which is often what I'm doing on the farm here. The 56mm is also nice because as long as it's not pitch black outside, I can shoot coyotes even at night without much problem (only on 10 power though...anything higher zoom than that and it gets too dark to be sure enough where I'm shooting) Also, my .223 has a very tall cheek pad on it, and the 56mm is actually quite comfortable to use with it.
Just depends what you're looking for, but the 3-9X40mm will not steer you wrong in nearly any "resonable" hunting situation.