A 35mm f/1.4 is going to be very expensive. If you don't need a lens quite that fast, f/1.8 primes are much cheaper, and only about 2/3 of a stop slower.
The f/stop value listed is the fastest it goes, they then go up from there in this pattern: f/1.4
f/2
f/2.8
f/4
f/5.6
f/8
f/11
f/16
f/22
Some will have f/32 or higher.
My 50mm f/2 prime stops down to f/16, while my 24mm f/2.8 will go to f/22. Electronically controlled lenses and high focal length lenses often have higher f/stops. For example, the Canon 70-200mm F/4 goes to at least f/45. Older full frame lenses would often go to f/64.
Your first prime should be a fast 50mm or 35mm. 50mm is considered a "normal" lens as it is equal to one human eye. However, on crop sensor DSLRs, such as the D40 through D300 including the D1/D2 and the all Canons before the 1Ds and 5D/5DMKII are crops. This means the effective focal length is multiplied by the crop factor. For all non-full frame Nikons it's 1.5x, and on Canons it is 1.6x except for a few which have a 1.3x crop.
So, that 50mm becomes 75mm (80mm with Canon) on what a full frame (think film) would see. That's why the 35mm becomes a very useful lens on a crop DSLR, because it is effectively a 52mm lens on a Nikon crop sensor.
50mm lenses are also the easiest to make with the least glass, so they tend to be the cheapest and fastest (record is f/0.7 from Zeiss for a camcorder and f/0.95 on a Canon rangefinder, Leica also has similar <f/1 lenses). A f/1.8 50mm AF for Nikon is about $100 used. Faster lenses increase in cost exponentially. The f/1.2 Noct for example, is about $5000 used.
Another perk of primes is the sharpness. In a zoom, all ranges have to be looked at and adjusted for sharpness. A prime is a single value focal length that can be "tuned" in a sense. They also tend to be very sharp wide open (low f/stop) and closed down (high f/stop). Zooms are often soft at the ends, and usually much slower than primes. The sharpest stops of any lens is usually f/5.6, f/8 and f/11.
I hope I answered all your questions and didn't bore you to death. If you have any more, please ask.