Correct, PS2 games will not work on the 40g. Only PS3 Blu-ray media and possibly reg dvd's although I'm not sure on that. I'd also pay the extra $$$ for the backward compatible system as Cannon1 said. I think the PS2 is still the best selling system of all time and will be supported by Sony and game developers for years to come. There are many great PS2 games available for cheap and the Ps3 is still struggling to get games out.
I do think once the PS3 has a large compliment of games, you won't be able to beat the sound/video quality of the PS3. The problem is once I started playing Ps3 games, the video quality of the Ps2 games just doesn't cut it for me anymore, especially on my 58" Panny Plasma, :)