In chronological order:
5.036 had several important enhancements to AI viciousness to
5.037 was basically bugfixes and balance. Some for stuff added in the previous version, some more longstanding.
5.038 answered some very longstanding player-convenience requests. Namely, it made human fortresses, forcefields, and command stations all drop remains and thus be automatically rebuildable if you had Remains Rebuilders on duty (with a new rule to prevent exploitation of the command station rebuilding, but removing some older less-intuitive rules). More bugfixes, too.
5.039 was just bugfixes and a quick change to make Remains Rebuilders work outside supply so the 5.038 changes would work as intended, since no major exploits seemed obvious.
5.040 followed up on a lot of feedback we've received on the energy model over the past couple years. The new model isn't perfect, but it does involve a lot less micro and feedback is very positive thus far. More balance and a bugfix, too.
5.041 is just one feature I was in the middle of and wanted to get out there before shifting into higher gear on the ongoing expansion work, but if you've ever used (or wanted to use) mines in a serious capacity you'll be happy about it: the ability to place a straight line of many units of the same type (optionally packing them as tightly as the game would allow, particularly nice for mines).
These are standard updates that you can download through the in-game updater itself, if you already have 4.000 or later. When you launch the game, you'll see the notice of the update having been found if you're connected to the Internet at the time. If you don't have 4.000 or later, you can download that here.