The E-510 is better, bigger and heavier than the E-410. But...
Sensor is similar, image quality is equal and all the optical and flash equipment for future expansion is the same for both. Both have not only optical VF but also Live View which I think everybody finds useful now and then. I think the main difference is the lack of IS in E-410. The IS is very good but it seems that it only works with digital lenses. The pop-up flash is a bit more powerful in E-510. Also the battery is not the same, the E-410 uses a special one, while the E-510 uses the same as every other E-system camera from the E-1 up uses.
All in all, I think you would be very happy with the E-410, but find out all the details before you buy the camera. Read the manual for example, if it is awailable for download. I think the E-410 is the best value for the money within the same price range. If you get the dual lens kit you are fit for most occasions. The kit lenses are very good compared to other brands kit lenses.
On the other hand, who am I to say anything about the E-410 or the E-510? :dunno: I do not have any of them, so my words are noting else than spreading on what I have heard. I only have the E-500 dual kit + ZD 50mm f2.0 macro + several old OM lenses and eqipment + FL-50 + 5 other flashes + two big bags filled with some other stuff. I am not even a pro, so take my words with a grain of salt.