I got the sigma and.. while acceptable.. I think the 40-150 would have been better. Why?
First off, you loose the AEL button 'AF-in-MF' setting (when in MF, you can have the camera focus with AF by pressing the AEL button) That doesn't work on the sigma.
Then it's a ƒ4-5.6 lens that goes to 400mm. As EB says, you 'should' stop down (narrow the aperture) so it is sharper. So, at 400mm when you need a shutter speed of 1/400th (and above) the lens is at ƒ5.6 and add to that the need for stopping down some. So you have to use it at 1/400th @ ƒ8. Thisis sunny day weather in the UK.. or rare!
Simply put, I'd have been better with the Olympus lens...
Then if you factor in that you are buying sigma glass which renders colours slightly differently than olympus glass.. slightly I'll grant you but.
Then there's the EC-14 tele convertor, the sigma isn't compatible with it while the 40-150 is.. along with the EX-25 (extension tube) and the TF-22 (twin flash)
So while the sigma is cheaper and 100mm 'longer', it's not part of the 'E system'.
That said, you can get usable results from the sigma... it's just that you need brightish conditions to do so (which is the same for the 40-150 only less so)
IMHO anyway
paul