There's a comparison of the Oly 40-150, Sigma 55-200 and Oly 50-200 here:
http://www.biofos.com/cornucop/telecomp.html
The Sigma 55-200 is very light weight and better reach (at the long end) than Oly 40-150mm. Overall the Sigma gives good performance per dollar (cost only $290 new), more bang for the buck. Although I have the Oly 50-200, I find it too heavy for travel, so the Sigma comes in handy. As for the Oly 40-150, it is better optically compared to the Sigma (but cost more, around $400). It really depends on what you want to shoot.... if telephoto reach is important then I guess the Sigma will serve you better. But if 150mm is all you need then the Oly 40-150 will probably give you better results.
Cheers.