Lisa,
I've been gnawing on this issue as well. There are a few threads over at wetpixel and digitaldiver on what lenses to get, and Alcina, of this board, seems to have made the switchover recently and have been through the pain, so maybe she'll chime in, but I think most folks narrowed it down to:
1. A wide angle lense (10-22, or 12-24, or 10.5, or something like that).
2. A macro lense (50, 60, 100 or 105 all being popular). With the macro lense also working fairly well for far away subjects. As I understand it, a dslr macro lense can focus from very close to very far, unlike my little P&S with the macro adapter on it.
Somebody please confirm?
3. As an alternate, alot of people liked their 28-105 and similar range zooms. Good all around lense they say. But I don't think those are truly macro capable. Plus side: non-macro capable means fairly reasonably priced.
As far as walking around lenses, I really really really really really have to put a pitch in for the Tamron 28-300 zoom. It's not an "L" lense, it's not even glass - I think all of the elements are plastic -- many of the second tier lenses are. But it has decently low levels of distortion, unsharpness and chromatic aberration (at least judged at an amature level), and the flexibility of never ever having to change the lense while on land totally sells it for me. The thing is tiny, light, easy, I just can't say enough about it. And no, I don't work for Tamron!
Sigma also makes one, but I think when I researched it the Tamron was better quality. Runs about $450. Wouldn't trade mine for anything - I used it on my digital rebel for fairly serious amature topside photography. Wouldn't work for UW, since the lense extends too far out.
Did you see that guy's post on his experience going dslr with his 20d? Of course now I can't remember the guy's name (unless it was Matt Segal maybe) or even which board it was on (such a bad memory -- MUST eat more vitamins!), but it was a great essay, talked alot about what it's like to shoot a dslr, and it almost convinced me to step up.
hope that helps a little. None of it (except the Tamron love-fest) is first hand, sorry, but that's what I've learned going through the same agony you're going through.
With all things in life, as a friend once told me, it all comes down to your heart deciding what you WANT, and your brain then racing around finding enough data to justify it!