I am 40 and found a knot on my left breast, how important is it to get it checked?

Very important. Any lump needs to be evaluated. Mammogram and ultrasound is needed to guide the evaluation. Even if these are negative and a lump is still felt it should be considered for biopsy. A surgeon experienced in breast cancer should be seen.
Mandatory! I agree with the other doctors. You must get this checked! don't let fear stop you. The vast majority of breast lumps are not cancer, but the only way to know for sure is to have it evaluated. And if it turns out to be your worst fear...Cancer...You've caught it early and have a very high likelihood of cure!
Yes. I would recommend seeing someone who is familiar with breast disorders ( breast clinic). A mammogram of the breasts and an ultrasound directed at that area will need to be done.