Yep D40, D60 and I think the new D5000 don't have the motor in the body, but most people use AF-S lenses now and Sigma and Tamron are including more built in motors. As you say they tend to be the better lens to get anyway.
Not sure what features are 'missing' on the cheaper Canon and Sony bodies, but basically the more you spend the more you get.

__________________
Spelling by Mac, if it's wrong, blame that lol.

My flickr