If you set a custom function and press the AF-ON button, the mirror flips down (cutting off live view), the 40D autofocuses, and then you can take your finger off the AF-ON button to resume live viewing on the LCD. Yes, you can get some AF in Live View, but no, you can't get them at the same time.
You can magnify the live image by five or ten times to check focus.
Live view adds a grid for helping get level shots.
Live view is also a mirror lock-up and slightly shortens the already minimal shutter delay
Live view also adds two quiet shooting modes, which can happen because the mirror is already up. This is advantageous for remote surveillance, since you can duct tape your 40D someplace it doesn't belong, and with the WFT-E3A wireless transmitter you can see what's going on and fire it from your laptop as you sit in your car . The images are transmitted to your laptop with the 40D not making much noise. If your target sees your 40D, you may lose your camera, but you've got your images and you're rolling before they see you. You also can do this with a USB cable, but it's not as stealthy.