Solution: (1) If you want to get 40 points, you must do all eight multiple-choice questions correctly. Among the other four questions, the probability of getting two questions right is, the probability of getting one question right is, and the probability of getting the other question right is, so the probability of getting 40 points is.

;

(2) According to the meaning of the question, the set of candidates' scores is

A score of 20 means that only 4 questions are done correctly and everything else is done wrong, so the probability is

Similarly, the probability of getting 25 points is

The probability of getting 30 points is

The probability of getting 35 points is

The probability of getting 40 points is

A: The probability of getting a score of 25 or 30 is the highest.