I don't have a Pen, I have an E-system SLR.
The Pens are the same as all the other cameras you mention - you just change the lenses like any other interchangeable lens camera.
The pics in that advert (which is a cracking deal btw) are a bit misleading. The front-on shot shows the 14-42mm lens attached, but the overhead one has no lens, which makes it look like the lens is really really thin. It is pretty compact, being a collapsable lens (when you pack it away it shrinks below the smallest size it is in normal use), but it's not quite that thin!
There are differences between the ILC formats in terms of noise, image quality and so on, but the one area the Olympus and Panasonic win hands down is lens choice. There's much more available, and they are all pretty good. They both use the micro 4/3 system, along with a few othe rmanufacturers too.
It's worth noting though that in general Oly lenses work a bit better with Oly bodies and likewise Panny. I think the Panasonic cameras automatically correct for some distortion that the Panasonic lenses create, but you don't get the correction if you use the lens on an Olympus body.
NB from my in-shop tests, the E-PL3 cameras are way way quicker than the 1 and 2 versions. Extremely quick.