Olympus designed the E-410 to be as compact as possible, and its slim profile leaves no room on the side for controls. Notice the almost complete lack of a traditional SLR grip. For most shooting, in which the camera rests in your left or both hands, the flat grip doesn't pose a problem. There are a few tasks for which it's very awkward however; try holding a white card in your left hand while trying to set the manual white balance and hold the camera in your right.
When shooting in Live View mode, you use the AEL/AFL button (autoexposure lock/autofocus lock) instead of the shutter button to focus. Since it flips the mirror down and up to do so, the accompanying "thunk" takes a bit getting used to.
In an inexplicable design decision, Olympus removed the one-touch functions it traditionally doubles up on the navigation buttons in its higher-end point-and-shot cameras. Now, pressing on the OK button pulls up a single screen in which you change all your shooting settings. It's just as easy to use, but I would think that Olympus would want to stick with the familiar for the entry-level users it targets with the E-410.
For just $100 more, you can opt for the dual-lens kit, which includes a 80mm-to-300mm-equivalent lens in addition to the 28mm-to-48mm-equivalent one. If you have the extra cash on hand, it seems like too good a deal to pass up.