If you only count "characters", you get 38. If you count fusions as characters, then there's like, 45 or something like that. Hope that clearifies things.

yes, there is 40 characters in dbz budokai3.

01 GOKU
02 KID GOKU
03 KID GOHAN
04 TEEN GOHAN,
05 GOHAN,
06 PICOLO,
07 GOTEN,
08 VEGETA,
09 FUTURE TRUNKS,
10 KID TRUNKS
11 YAMCHA,
12 TIEN,
13 RADIZES,
14 NAPPA,
15 ANDROID 16,
16 ANDROID 17,
17 ANDROID 18,
18 DR. GERO,
19 RECOOME,
20 CAPTAIN GINYU,
21 FREEZA,
22 COOLER,
23 MAJIN BUU,
24 SUPER BUU,
25 KID BUU,
26 UUB,
27 SUPREME KAI,
28 KRILLEN,
29 VIDEL,
30 HERCULE,
31 BROLY,
32 OMEGA SHENRON,
33 CELL,
34 SAIBAMAN,
36 35 CELL JR.
37 BARDOCK
38 DABURA