The oly is particularly suited to Macro Photography due to the relativley deep DOF at a given aperture (compared to APS-c and Full frame sensors), meaning more light, and therefore faster shutter speeds.
The options on the oly are...
ZD 35mm (f3.5) Macro, A versatile cheap macro lens with very good optical quality, but the downside of the 35mm is the short working distance to get 1:1.
ZD 50MM (F2.0) Macro. As standard this only gives 1:2 Magnification, but with the adition of the EX-25 Extension tube will give 1:1 magnification. The working distance is greater than the 35mm and the F2.0 gives more oportunities for low light Macro. The optical quality is superb, with the lens out resolving all of the 4/3rds sensors available and is infact on of the sharpest lenses on any system and can be used wide open at f2.0 without worry. It also makes an excellent portrait lens. The downside of this is that it is quite expensive (£250 ish) with the Ext tube being aroung £60-£70).
The sigma Macros (105mm & 150mm) are both available in 4/3rds mount and are both F2.8, with the 150mm having an ultrasonic motor, internal focusing, and a very good working distance making it suitable for creeping up on bugs etc. Its a heavy bit of glass and demands steady grip. The optics are top class, and are getting on for excellent if stopped down a little (F4.0 - F5.6).
The Raynox lenses can be used to good effect due to the high quality of the Olympus Kit lenses, with the 40-150 being particularly suitable. However the kit lenses, like most are getting a little slow at the long end (F5.6) so will demand good technique to get the best from them. I used a DCR250 on my kit lenses with the E-510 before i got a dedicated macro lens (well two actually - the ZD50mm with EX-25 and the Sigma 150mm)
Example of the 50mm (50% crop)
Examples of DCR-250 on Kit lenses.
Examples of Sigma 150mm
Chris