I have the E-520 brilliant little camera but before you jump im and buy the Sigma remember that the sensor is 2x so it will give you 36-100mm so not very wide.
I suggest you go for the 14-54mm F2.8-F3.5 can be had on the bay for around £300 this is a really good lens.
Or if you can afford it, the 12-60mm F2.8-F4 SWD as this is one of the best lenses on the market today, can be had for about £500 new off the bay around £600+ from any online store.
Love this lens it on my E-520 90% of the time & one of the reason i use Olympus because the quality of their glass
I also have the 70-300mm... now one thing you have remember with this lens is that it pretty slow to focus so you need good light to get the best out of it as it not a fast lens so and days were the light not so good you need to bump up the ISO, but once you master how to use it properly, images are sharp, plus with built in IS in the E-520 it can be handheld even at 600mm with great results.
Other lenses to consider at a later date are the new Zuiko 9-18mm, Zuiko 50-200mm SWD really fast & quiet & the little Zuiko 25mm pancake brilliant little lens this great for days when you want to go really light.
Good Olympus glass isn't cheap but the rewards it gives you in picture quality to me easily outweighs the cost.
