Depends on your taste ...
Zuiko 35/3.5 - very cheap, good optics, max. magnification 1:1, but imho usable only for static subjects (very very close distance needed)
Zuiko 50/2.0 - primarily excellent portrait lens, it has max. magnification of 1:2, using EX-25 1:1 and using EC-14 somewhere between. This focal length (100 mm eq.) is not the best for moving specimen (bugs, etc.), but this lens is optically flawless, one of best lenses ever from my point of view.
Sigma 105/2.8 - very good in terms of optics (see below), max. mag. 1:1, pretty slow focusing (Zuiko 50/2.0 focuses also slowly), cheap.
Sigma 150/2.8 - very good in terms of optics (see below), max. mag. 1:1, fastest focusing (using HSM motor), but it is for some people pretty long (300 mm eq.), which is limiting factor for DOF.
If you want to grab some Sigma lens, you could test it before buy - especially if optical elements are centered accurately. This is well-known issue of all Sigma lenses - one lens could be excellent, another weak because of that.
So, if you want to shoot bugs, you should find a fine piece of Sigma, if not, the Zuiko 50/2.0 has superior optics, more possibilities to use in real life (probably) and is worth every penny.
I assume that the best macro lens will be the new Zuiko 100 mm, but it will be released during next year ...
