I have quite a bit of experience on this mount. My friend who started me on photography worked for Olympus and has the full line-up of lenses for the mount. He gave me his old E-410 and access to his collection. I actually started the same way by buying those close up lenses, but it felt like throwing money away. Using great glass and then sticking on cheap optic which alters the magnification of the lens causes all sorts of distortions in your pictures. You may get magnification, but you won't get quality. I should also say that there is not really much cheap glass on this mount. Olympus makes very high quality lenses, and Sigma's lineup for 4/3 is fantastic.
I have used the Olympus 35mm macro, Olympus 50mm macro, Sigma 105 macro and Sigma 150 macro for the mount. The cheapest options is the 35mm, which is quite common and can be had for less than $100. It goes to full 1:1 magnification, but has a very short working distance at that magnification. The 50mm only goes to 1:2, but is an all-around great lens. The best for aquariums, the Sigma 150mm, is extremely hard to find on this mount. Luckily its little brother, the Sigma 105mm macro, is fairly common and reasonably priced.
I have since played around with Canon and eventually settled on an E-M1 to adapt his lens collection, and bought myself a few different macros, Olympus 60mm and a Sigma 180mm. If anyone is looking at M4/3 the Olympus 60mm macro is extremely solid. It does not offer the best working distance at full 1:1 magnification, but it has a lot of reach between 1:1 and 1:2 and is superbly sharp.
