There's no 'which one's better' answers for you.
Both cameras have their own pros and cons and I'll try to list them out here for a comparison of sorts:
Olympus E-500
Pros
- Olympus is known for their colour rendition
- 4:3 systems provide you with options for lenses that are more compact and lighter in design for the same focal ranges of other systems.
Cons
- The E-500 is 2 generations old (latest one is E-520)
- Limited choices of third party compatible lenses
- 4:3 systems uses a smaller sensor than the others.
Sony A300
Pros:
- Sony has the most features packed into entry level dslr cams such as custom white balance in Kelvin settings (not available on entry level Canons and Nikons).
- Wireless flash option built into the body using the pop up flash as the commander unit (not available on entry level Nikons and not available on any Canons)
- Built in sensor based image stabilization so you would not have to fork out extra to buy VR or IS lenses though I am not sure whether the E-500 has image stabilization.
- Tilt screen that makes the live-view implementation that much more useful.
Cons:
- Sony does not currently have as many lenses as either Canon or Nikon (but you can always opt for second hand Minolta AF lenses that works just as great on the Alphas)
- Sensor based image stabilization works up to 2.5 stops whereas lens based image stabilization can go up to 3.5 stops (but you get image stabilization on every lens that you can attached onto the Alpha)
I would advise you to go to the shops and try out both the cams and see which one you like best.