CVD (chemical vapor deposition) ZnSe is a bit more expensive than PVD (physical vapor deposition) ZnSe, but its transmittance is a bit higher (something like 99.8% vs 99.5%), which is why it doesn’t get as hot and why it can handle more power. A reasonable maximum for PVD is around 80 W.
Apart from ZnSe (zinc selenide), you can also use GaAs (gallium arsenide) and Ge (germanium) lenses with a CO2 laser, but those two are much less common.
With an 80+ W laser and a suitable head, a 2.5" GaAs lens can be a good addition for cutting somewhat thicker sheet materials. Compared to ZnSe, its transmittance is a bit lower, but there is less spherical aberration. With enough power, you can overcome that handicap and reap the benefits. There is one caveat: It doesn’t work with beam combiners. It’s opaque to visible light.
Ge only works with low-power engraving machines, but their transmittance is lower than ZnSe. I don’t really see why anyone would ever use them. You can get a good 12 mm ZnSe lens for a K40 for just $10.
There are two types of geometry: planoconvex (flat bottom) and meniscus (concave bottom). Meniscus lenses produce a slightly crisper spot, but they somehow have slightly worse cutting performance. The amount of detail you can reproduce with a planoconvex lens is high enough - even for anodized aluminium. While a bit more cutting power is always welcome. So, this trade-off isn’t really that appealing for typical use.