When I wrote my Level 30 post, I mentioned that hitting that particular milestone had lost some of its luster, but I'm happy to report that the Level 40 mark, which has had significance since launch, still offers some exciting changes for players.
In the very beginnings of the game, Level 40 was when characters could finally get their first land mount. This has since changed to Level 20, but now, characters can receive their epic land mounts, which increase their travel speed from 60% to 100%, at Level 40. This greatly reduces traveling time, and speeds up the leveling process. Most land mounts are just armored varieties of the slower mounts...
but some of the special class mounts receive some aesthetic upgrades. Take, for example, the paladin charger, which replaces the warhorse (pictured first).
Also receiving a new look is the dreadsteed, which replaces the felsteed as the mount of choice for warlocks.
Also, goblins get their bikes upgraded.
Also, in my first post about mounts, I completely neglected the Worgen. They don't receive a specific race mount, however, they have a racial ability that allows them to swiftly run on all fours. At first, this felt like a gyp, but having now played a Worgen, I have quickly grown to love it.
Another perk that some Level 40 classes receive is the ability to wear stronger armor. Warriors and paladins can upgrade from mail to plate, while hunters and shaman can go from leather to mail. In all cases, this is usually just a boost to each character's survivability, but every little bit helps.