I and trying to write in non technical words.
S40 and S60 are just user interfaces in the phone.
S40 phones are powered by Nokia proprietary OS, which allows Java applications/games to run.
S60 phones are running Symbian OS, which besides java, also allows native applications (sis files). Native applications can have more control over the phone OS, so they can tweak your phone. But more control also allows viruses and spy wares.
Newer version of S40, viz. S40 3rd edition, and S40 3rd edition feature pack 1, can provide most of the features programmer need to make applications in native languages, like allowing access to file system through java and 3D games.
S40 and S60 and being developed side by side and there is nothing like S40 is older than S60. Applications/games are also made for both, but at present, there are few java applications using full power of S40, while S60 applications are at mature level.
Take S60 phone if you want to tweak it, and install Symbian files on it. On the other hand take S40 if you want comparatively faster UI and safety from viruses.
SE W800i supports only java applications. Only P series from SE, P800/P900/P910/P990 and new phones like M600 and W950 run on Symbian OS and allows native applications.