Coaxial losses go up as frequency increases, so design your coax run around your highest frequency.
Coax loss also goes up with cable length, so keeping the run as short as possible will reduce losses and save you money.
RG-11, as mentioned above, can be a good choice. At 800MHz and 40 feet, you'll have about 1.8dB of loss, which isn't bad. Challenge with RG-11 is finding connectors, crimp tools, and strippers. Not impossible, but not as easy as some other cables. RG-11 is often used by cable TV companies or long satellite TV runs. Unless you have a friend that works for the cable TV company, you'll need to order everything you need. A thicker cable that can be stiff and difficult to run in residential installs, and you don't want to connect directly to the scanner as that'll put a lot of stress on the antenna jack, possibly causing damage.
RG-6, which is a common cable TV/Satellite TV cable will have a bit over 3dB of loss over 40 feet. That's a bit much, but not an issue if you are listening to local traffic or you add an amplifier. Nice thing is RG-6 is cheap and easy to get at hardware stores. Easy to find strippers, connectors and crimpers there, also. Your local Home Depot, Lowes, etc. will have what you need.
Times Microwave LMR-240 will be a bit better than RG-6. You can order pre-made cables with the connectors you need from various sources, like
www.theantennafarm.com as well as others. Easier/cheaper to order the cable with the connectors already installed rather than buying the tools to do it yourself.
Times Microwave LMR-400 will be better than the RG-11 by a bit. You'd want to order premade cables as the tools to properly install connectors on this will be expensive. This is a heavy/stiff cable that will be difficult to run. You also do not want to connect this directly to your radio as the stiffness can result in damage to your scanners antenna jack. You'd want to use a short run of more flexible cable to act as an adapter between the LMR-400 and scanner.
There's higher grade cable than these, but you are getting into expensive stuff, measured in dollars per foot.
If you move your antenna up higher, you'll get a bit more range. But you'll add cable length and losses. Longer cable runs benefit from higher grade cables.
So, as I said above, it can come down to what your budget will allow. Usually LMR-400 is about the limit for most hobbyists due to cost, stiffness, and difficulty routing. LMR-240 might be a better option if you get a strong signal outside.