What Wire Should be Used for a 40A 240V Circuit?
Since the entire route is conduit, you need 8 AWG THWN-2 copper. This will be individual wires, not a cable in a sheath.

You can also use 6 AWG Aluminum, but you won't find it.  You might find it if you shopped at a proper electrical supply house, but you'd get funny looks and an "are you sure".  In fact, Just don't use aluminum - installation is more sensitive to proper procedure, and at these small sizes, is really for wizards only. 

If both panel and charger have steel chassis and the conduit is non-flexible and metallic, then you do not need a ground wire.  If you do need a ground wire, follow instructions but 10AWG Cu should suffice, in bare wire, green, or green/yellow.  These are the only permissible colors for grounds, and vice versa.  Bare aluminum grounds are illegal. 

If neutral is needed (check instructions), use the same size wire as the main conductors, unless the instructions permit a smaller size.  Neutrals must be white or gray.  And vice versa.

Hot wires may be any other color(s) and your two hots may be the same color, feel free to be fanciful.  There really isn't any value in distinguishing them here.