a 940 board is a one time thing that AMD made, mainly for an FX-53 i believe, but with that particular CPU and Socket, you had to use ECC Registered Memory, which is very expensive.
939 is the "future" it's gonna be the high perfomance, or newer styled "standard" however you want to put it. Everything is going to be directed towards the s939's i believe. while the s754 are either stopping production in desktop processors, or becoming a Value solution.
If you are trying to decide whether 939 or 940, i would go with 939, especially when the PCI-E comes out with the Nforce4.