I know this post is a bit dated, but as a O'Day 40 owner I thought I'd chime in for anyone who stumbles across it.
I view the O'Day 40 as a "Coastal Cruiser with ambition".
It isn't built as robustly as many 'blue water' boats, but it is built well enough and certainly handles well.
Mine has spent time in the Caribbean and, if the tales are true, has been to Hawaii with a previous owner.
I also know of another O'Day 40 that has been all over the Caribbeans and Gulf of Mexico.
The O'Day 39/40 is based on a Jeanneau design and was made under license.
The O'Day 39/40 is also featured in the book "Bluewater Sailing on a Budget(2014)" by James Elfers.
The chapter on the O'Day 39/40 starts thus:
"For whatever reason, perhaps because the name O’Day was associated with smaller “day” sailors, the largest boat in their production history is almost never mentioned by the experts as being cruise-worthy. The accompanying photo, however, was taken after thousands of miles of bluewater cruising by Jeremy Alinson in his O’Day 39 Forever Young. He happened to be buddy boating with Fatty Goodlander on his well-traveled Wild Card, and Fatty snapped this great photo hundreds of miles off the coast of Madagascar. Not bad for a “day” sailing boat."