It really depends on what you want to do. My first lens (other than the kit lens) was the 35mm 3.5 Macro. It was less than $200 and is an very, very sharp. Full 1:1 and a fun little lens.
I also have an 18-50 Sigma 2.8. This is my everyday lens. Super sharp at both ends wide open. I looked at the 14-54 2.8-3.5 Zuiko, but from what I read the Sigma was just as sharp and 2.8 throughout. I hear there are bad copies out there that are not sharp but I lucked out with a good copy.
My newest lens is a 50mm-200mm 2.8-3.5 Zuiko. It is huge and the sharpest lens I own. If you like the 40-150 you have, you'll love this lens. I skipped the 70m-300m for a few reasons. It is a 4.0-5.6 and I hear it hunts a lot when trying to focus. The E-500 does not have IS so hand holding the 300 is hard unless it is a very bright day. Don't get me wrong, people love that lens and for the price it is a very good buy. It just did not fit my needs.
If you are looking to wide lens, the 11mm-20mm is a great buy. 2.8-3.5 and is super sharp. They sells for about $600 and is the next lens on my list. I do not shoot wide to often so it was not on the top of my list.
Play around with the E-500, it can do a lot. The ISO is not the greatest
but if you are coming from film it is a vast improvement. Colors are on point as is the contrast. Metering is not the best but if you learn to play with it, you can get some incredible shots. I have pictures from a recent trip to San Fran on my site.
www.yarold.com. All shoots taken with my E-500 and either the 40mm-150mm or the Sigma 18mm-50mm.
Hope that helps.
Yarold B