Some people out there, such as in this post, have noticed a statement in the ESXi 4.0 Configuration Guide which says (on page 54):

"Jumbo frames are not supported for VMkernel networking interfaces in ESXi"

I am happy to say that this is merely an error in the documentation.  In fact, ESXi 4.0 DOES support Jumbo Frames on VMkernel networking interfaces.  The correction will hopefully appear in a new release of the documentation, but in the meantime, go ahead and configure Jumbo frames for your ESXi 4.0 hosts.