"Benny" brings inline video and tweets to unpublished posts, content focus and more easily browsable plugins.
Benny in this case in homage to Benny Goodman. Whole version numbers usually denote major changes, but in the case of WordPress 4.0 it's just another release number after 3.9.
As with all things WordPress, it would be a very good idea to backup absolutely everything before upgrading to the latest version.
WordPress 4.0 "Benny" [WordPress]