Magnetization and its relaxation have been measured on Ba0.6K0.4Fe2As2 single crystals with Tc = 39 K. The magnetization hysteresis loops (MHLs) exhibit flux jumps in the low temperature region, and a second peak-effect in the intermediate temperature region, especially when the field sweeping rate is low. Interestingly a third magnetization peak can be easily observed on the MHLs in the high temperature region. Further analysis find that the first magnetization peak is very sharp, which is associated with the strong vortex pinning. However the first dip of the MHL corresponds to a moderate relaxation rate, then a second peak appears accompanied by a vanishing vortex motion. Finally a third magnetization peak emerges and the vortex motion becomes drastic beyond this threshold. The novel features accompanying the second magnetization peak suggest a new type of vortex phase transition.