Regarding going for a film SLR...no, no, NO, NOOOO, NOOOOOOOO!!!!!
Switching to digital was what re-kindled my interest in photography after my film SLR had been lying dormant for years, only to be pulled out for holidays etc. With digital, the fact that you can do all your own "developing and printing" gets you involved in the whole creative process from taking a shot to ending up with a gorgeous looking print. Having it all so immediate just makes it all so much better. Anyway, I don't really want to do a digital vs. film argument here 
The E-10 does not "eat batteries". It can use either 4xAA rechargeables, or 4xAA lithiums or 2xCRV3 lithiums. 4xAA lithiums or 2xCRV3 lithiums costs about £15 and will last at least 350 shots, depending on how much you use the LCD review and flash. For a long time I'd been using lithiums rather than rechargables because my photography tends to come in bursts (ie whole weekend doing nothing else and then 3 weeks not touching the camera) and RCs tend to lose their charge when not in use.
However (I posted on dpreview in the Oly SLR forum aswell) I'm now using Uniross 2300mAh RCs and they are lasting as long, if not longer, than lithiums and they don't seem to be losing any significant charge when not in use. I always carry a set of lithiums around as emergency spares though.
I would say the E-10 is on a par with most other D-SLRs in the battery stakes. There was a "battery pack/portrait grip" available for the E-10 called the B-HLD10. It's rather large, was pretty expensive then (no idea now) and is now probably not worth it with the advent of high power RCs.
Michael.