How to switch many (15) low power (40W) lightbulbs from a microcontroller?
You seem to be asking two different questions here...

Do I need 40w of power to light up a 40w bulb?

Answer: yes you do, if it's less then the bulb will be dim or not light at all.

How do I switch 15 bulbs independently using a microcontroller?

Answer: yes, you can either use relays as a nice simple solution. But if you need to switch them quickly, or many times over a long period of time then you should use solid state relays or triacs.