Well it depends on which ones we are comparing. I'm a big olympus fan though.
If its the E3 then it would be against the 40D,
If its the E520, it would be against the 450D
There are a few reasons but check here:
http://www.dpreview.com/reviews/com...eos40d,canon_eos450d,oly_e3,oly_e520&show=all
Most important though is
I already have some Olympus lenses and the Flashes for them and I think the Zuiko lenses are much better quality (IMHO)
The E3 is more expensive, but also double the weight of the E520, yet still lighter than the 40D. But the E520 also has a really nice underwater housing designed for it (not sure about the canon models.. I haven't checked).
Then the E3 got the DIWA Gold Award and has the worlds fastest auto focuser. It also has a much wider ISO rating setting than the 40D or the E520... so I dont know what to do.
First I guess is to see if I can find the E3 in SA though