Do they still make 8800 gts?

You fell for a very common misconception: When Nvidia release a new series of cards, not all the cards in that series will be faster than the previous generation. Thus the low-end 9-series cards like the 9400 are actually slower than the top-end 8-series like the 8800. The difference is purely that the new series comes with new features.

You probably won't find an 8800 anymore unless you get it second-hand. However, the 9800GT or GTX may still be for sale, and will easily match or beat your older 8800.

EDIT: I read you post again, and if you are looking to play brand new stuff at high res you may have to spend a bit more. Post your full system specs please.

What size budget (and power supply) are you working with?

To give you an idea where the 9400 sits:

Get a ATi 5770 1gb version. It will have roughly 2x the power of your old 8800GT, it will definitely run on your current power supply as its not more hungry than a 8800 and is probably the best spot for price/performance. Its also relatively cheap - below the point that your old 8800GT would have been at release.

Be cautious when getting certain brands of ATI card just like Nvidia. You will get fairly good performance boost with the 5770 over your old 8800gt while the 5750 will and can be counted as a decent upgrade for less. Getting one with a 1GB frame buffer is hands down the best choices even if it cost $10-15 or more over the 512. Be careful about sapphire due to their POOR customer service and the quality of the boards is questionable while every one knows of their coolers. Look for one that has a sturdy dual slot cooler (they're all dual slot) and if lucky have the vram and vrm cooled on the gpu side for better longevity as well stability. The top rating for these cards are as fallowed 5750 86w and 5770 109w these cards have to be overclocked typically to draw that much power on default voltage but no two samples perform the same or draw the exact same power it can vary by 5w~.