When comparing to 800?
It's not my answer anyway. It's my wife's. She assess whether statistics can be used for official UK Government figures.
I figured she'd be a good person to ask.
Again, it really depends on what is being measured. For the kinds of things done in government studies, no, the effect sizes are small, and 40 people will rarely be a good enough sample. Also, 40 people is not a good sample, because the intent is to use that sample to represent the population of a city, province, or country, and there is too much underlying heterogeneity to use 40 people to make a meaningful inference. Neuroscience studies would be a common example of a situation where the supposed underlying heterogeneity is smaller, and the effect sizes are much larger. So, if you look at Nature Neuroscience or another journal like that, for instance, you'd see that 40 people would usually be considered a moderate to large sample size, statistically...
This is why I asked what was being measured, but since it seems that it's the kind of thing that will have low effect sizes...
I am currently carrying out research into how peoples perceptions of sustainable construction have changed due to the recession that the UK is currently experiencing. In order to do this I have found data from 2008 (before the recession) on peoples perceptions of sustainable construction (Set A). I have conducted research using the same series of questions, on a different set of respondents in 2010 (Set B).
There are a few options you might consider... at a basic level, things like the chi square tests and confidence intervals above are fine. Another option that's more complex, and may or may not be what you want to do, is to take the 800 individuals in the first study, and instead of asking whether your respondents differ from all 800 of them, pick a subset of them who are most "like" your respondents -- e.g., matched for their age, ethnicity, income level, education level, geography, etc. -- and then see if the matched individuals differ from your 40 individuals. The advantage of this is that you can, to some extent, control for these various influences that might be in contention with your proposed mechanism of change (the recession). There's a lot of good (and free) software to do that. <R> has a package for it.