One bit of advice I got early on was that strobes don't change at any where near the rate of digital cameras. Invest in a good strobe now and you'll probably hang on to it through a few camera changes or, if you ever upgrade to a double strobe set up, at least find that you have more options to balance your lighting.
To me, a good strobe means output or "power" (often rated in Guide Numbers or GN--consider a GN of around 20 or more at ISO100) and manual output control, or the ability to reduce power settings with a switch. Some output settings (3 or 4) are better than none, lots more settings (like a dozen or so) give more finite control. These may not be everyone's criteria and certainly things like angle of coverage, recycle time (how fast the flash is ready to fire again), how many batteries & what kind (built in rechargeable, special packs, double AA's etc.), how many flashes you get on a set of batteries or a recharge etc. are additional important concerns.
You might want to check the Olympus forum to see what folks are using specifically but Inon and Sea&Sea are two quality manufacturers (and no, NOT the only quality ones!). I hear a lot of good comments about Inon's S2000 and I personally shoot a Sea&Sea YS110A and really like it. As noted, you don't need an external strobe, especially in shallow (10-15 feet or less) water but you will get better results in lot's more situations. When you see a really colorful, sharp and well lit UW photo chances are great it was done w/ external strobe(s) lighting--but part of the trick is it often won't look like it was! // ww
