At 40 you can start Tanaris (quests from Gadgetzan and Steamweedle port), you'll have some left in Stranglethorn Vale (the 43 - 45 quests that take part in the bottom bit), can head to that island that has the Alliance outpost in Feralas. Have you done Badlands yet? Starts late 30's, but still good in the 40's. Finished Desolace? Swamp of Sorrows has late 30, early 40 quests.
If you have done all of those, start looking for groups to complete all your instance quests : Uldaman, SM if you haven't completed, Zul'Farrak when you get a level or two. At 40 the zones really open up, you should have heaps of choices.
P.S. this should have been in the Geography section
