I'd recommend the new Audi A3, but didn't find its seats very comfortable. You might like them better.
A Volvo S60 or V60 would check off most boxes, especially the seats, but they aren't fuel efficient with AWD (different, older engines than with FWD).
A BMW 328d or Mercedes-Benz GLK250 with heated leather lists for well over $40,000.
Your best bet could be a Ford Fusion. Fuel economy is just okay, and long-term reliability remains to be seen. But it has German dynamics, comfortable seats, AWD, and a sticker well under $40k.