I've used M-Audio stuff before and generally found it pretty amazing for the price. Actually preferred them to the £400 near-field monitors my college used. I had a look at the Audioengine system and it seems pretty solid. TBH, though, if you want to go down that route, you would need a sound card of some kind to get the most out of them, I think, unless you do go for ones with a USB interface. Basically, a nice amp and cross-over to get a good signal to the speakers.
I would also say that the M-Audio Av30s are half the price or near enough and the main difference seems to be that they're slightly quieter at 15 watts per speaker rather than 20, but I doubt you'll ever have them at full volume anyway. Personally, I would just get those over the Av40s; in terms of listening to pre-recorded, mixed/mastered material, I doubt you'd notice much of a difference.