What would be good armor for a level 40 retribution paladin

Level 40 is where Paladins get to wear Plate armor, and it pays to invest in that. Assuming you go for the heirloom chest and shoulders (which are very, very good) your best bet would be to get a hold or check the AH for any plate armor with the "of the bear" suffix, meaning it gives Strength and Stamina. "Of the Tiger" is also good, since it adds Agility. This gives you a higher Crit rating.

There will be a lot of blue-quality items available on the Auction House, but it's best not to spend money on them. You will outlevel them very fast, meaning they are not very good quality for money.

If you do want better equipment with minimal expense, run a few random dungeons at your level to obtain reasonable blue-quality Plate armor.