The very good spanish magazine quesabesde has published an interesting comparison between the three cameras. What’s so useful about their review is that they focus more on real photography than on benchmarks or studio tests.
The results? First place for the Nikon D5000 (“very fast autofocus, good body quality, dynamic range and video“) and  soon after it the Olympus E-620 (“one of the best Olympus cameras ever made and wonderful with the Zuiko 14-42mm. Only weak point is the HIGH ISO performance“. The Canon 500D has the “highest price, and a worse body“!