Here's #40! Click here for the master list!
Adventure Comics #40
There is some debate whether Sandman actually first appeared in the pages of Adventure Comics #40 or if he made his first appearance a few weeks earlier in New York World's Fair Comics #1, but either way, this is the more important issue, as it is the first time Sandman is given the cover of a comic and it was the issue written and drawn first (the other story was done to be part of the World's Fair comic, after the fact - even if it showed up first, which even that is hard to prove exactly).
This issue introduces us to Wesley Dodds, who fights crime as the Sandman! He appears mostly patterned after the Green Hornet, with a tinge of Superman mixed in. His first stories were written by Gardner Fox and drawn by Bert Christman. Craig Flessel drew the above cover, and later drew Sandman for a time after Christman.
Sandman's first appearance, honestly, isn't much to write home about in terms of quality - but in terms of a cool idea, the Sandman is right up there with the best of them- the cool visual with the gas mask and the suit (which got even cooler four issues later when he changed from an orange suit to a green suit - it worked a lot better, visually) and the knockout gas is a good gimmick. Christman really helped develop the same moody visual style that Guy Davis would take on years later when Davis was excelling on Sandman Mystery Theatre.
The only other #40 I considered was Amazing Spider-Man #40, which is the origin of the Green Goblin, but really, that's not that much to go on, especially as Amazing Spider-Man #39 outshines it by so much.