This has been a great thread.
I agree with Swampwolf's size comment. I think that a 40mm scope looks silly on a small .22 rifle. Unless it is a dedicated benchrest or target rifle, a scope that large makes the gun feel "top heavy". This is only my humble opinion, of course.
For a .22LR, here is what I would look for:
medium power range: either fixed x4 or a x2-7 or a x3-9
parallax setting at 50 yards, or an adjustable objective
lense size of 28-35mm
I am just about to put this scope on my .22:
http://www.midwayusa.com/viewProduct/?productNumber=147249
Running a close second was this
http://www.midwayusa.com/viewProduct/?productNumber=734016
If I didn't want the higher magnification, I would choose the Nikon 4x32mm Prostaff rimfire in a heartbeat.
For a .22WMR or .17HMR, here is what I would look for:
medium to high power range: x2-7 and higher
parallax setting at 75 yards (many "muzzleloader" and "shotgun" scopes have this), or an adjustable objective is very attractive
lense size of 28-35mm, although some rifles may be ok with a 40mm
I would like to get a nice bolt action .22WMR with this scope
http://www.midwayusa.com/viewProduct/?productNumber=771270
although as someone else pointed out, this one is a great value
http://www.midwayusa.com/viewProduct/?productNumber=119797