So I agree you probably need to launch into some research before jumping in. Start with dSLRs in general, then move to the brands you mentioned and others.
I will offer what little I know from researching this myself recently, in particular because you mentioned the Olympus models which I was interested in too.
There will be a learning curve with whatever you buy. How steep this is depends on your experience and knowledge of photography basics. There is a book called Understanding Exposure which can help you learn the basics if you need help with that.
The Olympus E-410 is very small but lacks in body image stabilization and is a bit akward to hold. (BJ's had a great deal on this camera around the holidays.) The E-510 is a bit bigger, but still small-ish and light compared to other dSLRs. It has in body image stabilization and a more comfortable hold. This lightness of body comes at a price: they have a smaller sensor than most dSLRs and utilize a
4:3 aspect ratio. With that said, they are nice cameras nonetheless (though not always popular among many) that are affordable and also offer live view LCD, great kit lenses and built in sensor cleaning, among other features. They take CF and XD cards. If you want to buy more lenses you must buy those that are compatible with Olympus cameras with a 4:3 aspect ratio, and some of these can be expensive. Beach Camera has the E-510 with two lenses for around $650.
If some of the features of the E-510 interest you, you might want to consider waiting until April when Canon releases the EOS Rebel XSi (@ ~ $899 w/ 1 lens) which has some of the same ones (lens IS, not in-body), and also takes SD cards, has a larger sensor, 3:2 aspect ratio and a 9 pt AF system (compared to the Oly's 3 pt). This is what I'm leaning towards now myself since I had to wait anyway and have been using a Canon S3 for a while now which will hopefully help my learning curve (not to mention I have tons of SD cards).
I don't know anything about the Sony or Nikon.
(Hopefully all of my information is accurate, but if it isn't, I'm sure someone will correct me.)
Good luck with your purchase. Let us know what you get, and hopefully you'll be sharing lots of your pictures here.