so here goes - the nikon d40 is a pretty good camera to start off with cos you'll learn about how all the different settings affect how your picture looks before upgrading to one you can fine-tune even more.
you don't want to go higher than 800 ISO, ideally - otherwise you'll get horrible grainy shots. i usually work at a shutter speed of 1/40-1/100 with an aperture of about f/3.5 (but only because the kit lens wont do any wider).
i've always thought the standard 50mm f/1.8 lens would make a massive improvement to my kit, and at about £70, it's well affordable.
as for flash, most big venues will ban you from using it - and it shouldn't really be necessary. plus, if you want a good nikon flash it'll be upwards of £250.
what venue is it? start the bus?
you need to be pretty ruthless with the front row if there's no barrier, so take pictures from one position for a couple of songs, and then from another. shouldn't be too hard to barge through. also - if the venue are letting you do it, they might well let you on stage, if it's not super-tiny.
hope this helps. PM me if there's anything else you want to know.

with digital photography for gigs - lag is a real problem. 0.3 seconds lag might not sound a lot, but the amount of times a missed the guitarist throwing a cool pose really put me off, and I wasn't prepared to stump up the kind of cash needed for something really quick (though maybe they're much cheaper now).

If it's a small venue where you can get close, use a 50mm 1.8 prime (or better 1.4) - no need for a flash then.

1. Shoot with the widest aperture you can afford. It makes ALL the difference. The Nikkor f1.4 50mm prime is well worth the £250ish (if you're getting paid it's a worthy investment)

2. Watch your metering points with constant light changes.

3. Lighting at the venue is key. If you have to shoot at a high ISO use it to your advantage. eg, high contrast black and white works well with high noise.

4. For crisp shots don't shoot longer than a 1/60

5. Get your lens where others aren't or your just another punter with a camera phone.

6. High strike rate. The more you shoot the more chance there is of you getting that one amazing spur of the moment shot.

7. Try and have fun with it.

1. Are there standard rules of thumb for this type of photography? Settings, ISO, etc...

You have to work out what works for you and your camera, High iso if it's dark, go low if you can get away with it.

2. Could you recommmend a good lens?

The 24-70 f2.8 sigma is a bargain lens, get it.

Standard 50mm is alright as well.

3. I'd like to avoid flash altogether but if it can't be avoided what are the rules with this?

Don't overuse it, try not to stick it in everyones faces especially in small clubs. Try a diffuser, might help.

4. How do you move around and vary shots if it's really packed at the front?

er legs?

are no rules! well there are if you want your shots to look the same as everyone else. A common problem in music photography today. Just experiment and see what works for you. I spent 4 years photographing with film and then digital in a small venue in Exeter and trying out every setting and technique that I could. Now I am in London I have learn to adjust my approach for each different venues or bands. I have been shooting for 5 years or so and still I discover new things.
Also as Raoul_Duke says have fun. Lord knows your not in it for the money!

(absolutely no sarcasm intended). Does anyone still shoot non-digital? I've been trying to do that thing where you take a picture, then wind the film back a frame and take the next picture over the top of it. I've yet to find out what the results are like - probably awful!

I'm currently saving for a new digital SLR for gig photography (as well as other stuff of course), anyone got any good recommendations on a particular model to go for? I'm probably going to have a budget of £600-£800 approx.

Much appreciated.

You wont know what works for you until you do.
Learn the basics of shooting without flash but if you're in a small venue with shitty lights use it as you'll get useable shots.
The dark grainy ones wont be worth shit!
I've been shooting for a couple of years now and it's still a lot of trial and error!
Check out the pictures here...

http://www.flickr.com/photos/lornethomson/sets/

iso - high
aperture - wide open
shutter speed - fast
moving around - elbows
flash - first three songs, and bounced off ceiling/wall. even if the 3-songs rule isn't in place cos it's a small venue or whatever, you don't want to be getting evils all night from crowd members who've paid to get in.

1.) Get a 50mm f1.4 or 1.8. Should be able to pick up a 1.8 for around £60-70.

2.) Only use flash if the venue's lighting is absolutely terrible. Flash will annoy the band/audience and you'll loes a lot of the atmosphere in your shots.

3.) Watch the lights. With a bit of patience and experience you'll get to the point where you can anticipate what the lighting guys are doing and time your shots to get a higher percentage of 'keepers'

4.) When you're starting out get hold of a high capacity, high speed memory card and just take as many shots as you can. Once you get home and start processing them all you'll start to get an idea of what works and what doesn't.

5.) If there isn't a barrier you should try to move around as much as possible, you want to annoy the people behind you as little as possible. I tend to find that people are pretty accomodating if you duck in front of them for a couple of quick shots then move on. When you're moving through the crowd hold your camera up in front of you, this keeps it out of danger and also seems to persuade people to let you through!

The main thing, as others have said, is to enjoy yourself and try to enjoy the show too!