Olympus deliberately use a smaller sensor compared to DSLR's from other companies. One of the side benefits of that is a smaller lens mount ring in the body (which helps keep the body itself smaller) and smaller lenses.
With a lot of talk coming from Canon fans about "full frame" sensors (the sensor is the same size as the exposed area of a single frame of 35mm film), it will be interesting to see what happens. A full frame will allow more pixels, but the bigger sensors will need above average grade lenses to get the best results from the sensors. Canon can certainly produce top grade lenses, but they don't sell at budget prices (to be fair, Olympus lenses aren't exactly cheap either).
If you're going to use the RAW image format, get the biggest memory card you can afford. Olympus don't use any compression for RAW format, so the files are bigger for the same number of pixels compared to RAW files from other brands of cameras.
I have a couple of 1 Gig cards for my E-300 and usually shoot in 1600x1200 JPG with 1:2.7 compression, so the images are around 1.4 Mb each. A 1 Gig card is good for around 700 images at that resulution.
If you expect to shoot in continuous mode (just hold the shutter button down and it keeps taking pics) get the fastest card you can afford. The internal buffer in the camera only holds a few frames, so the faster it can write the buffer to the card, the more pics you can take in one go.