The latest release is 4.41. This is a bug fix and new features upgrade in the 4.xx series of releases - see the download pages. Documentation has been updated for 4.40. Version 4.40 had a bug which can cause the daemon to die - it should be upgraded to 4.41
New features are documented in the doc/ChangeLog and doc/NewStuff files within the distribution. These files are also available separately from the main package files on the main ftp site and its mirrors in the ChangeLogs directory - see the download pages.
All versions of exim previous to version 4.x are now considered obsolete and everyone is strongly recommended to upgrade to a current release.
The last 3.x release was 3.36.
There may be beta versions with available from the ftp sites in the Testing directory. Many people are using these without problems, but they are not recommended unless you are willing to work with beta software.