Well, people don't for the most part look forward to 40 degree days - this is warmer than body temperature, so you have to engage in some form of cooling. Going to the beach is one form of cooling :) Avoid being outside, drink lots of fluids, AC if you can, anything, really. Construction workers generally stop work around 36, from memory. Conversely, people here will tell stories about the crazy British neighbour who is out doing the gardening in a singlet when it's only 10 degrees.

Here in Melbourne we'll have several 40-degree days each summer, and the only large city with more that I'm aware of is Phoenix. There are heaps of large cities that are warmer in general, but they don't peak quite as high. Record is 46.2, set a few years ago. Not a pleasant day, especially since it was after a few similar days...