Allows you more control over aperture, shutter and ISO settings.
http://www.cambridgeincolour.com/tutorials/neutral-density-filters.htm

Allows you to use a longer shutter setting when you hit the bottom end of the ISO range-really handy if you want to capture that soft water look in brighter light.

Your thread title, while interesting and true, doesn't help us know what the subject is about.
A title containing the words: "Neutral Density filter" would help.
You can change the topic title for up to an hour after posting, I believe- look above your name near your avatar.

I just ordered a PEN E-PL5 yesterday that uses the same sensor and has many of the same features but is considerably cheaper. Both yours and mine are reviewed as being exceptional with the kit lens (even better with optional micro-4/3 lenses from Olympus or Panasonic), capable of output quality equal to any mid-priced crop sensor dSLR, and some reviewers go so far as to say they're as good as some high end dSLRs (I'll believe that when I see it).

I researched hard for a month before making the decision and never would have guessed two months ago that I would choose an Olympus. They weren't even on my radar screen originally.

A semi-secret fact I learned that makes me smile because of the behind-the-scenes in-breeding of manufacturers: Sony makes crop sensors for Nikon and now I find out they make the 4/3 sensors for Panasonic and Olympus.

I also think but haven't verified in writing yet that Panasonic makes the micro-4/3 bodies for Olympus and Olympus makes the micro-4/3 lenses for both of them. They jointly developed the 4/3 standard. While the bodies have different external appearances with Panasonic being modern and Olympus being kind of retro, new models from the two companies many times hit the market within a month of each other and the new models have features that are available in both but not available from other companies. That's likely more than a coincidence.

I'm sure you'll love your OM-D E-M5! Show us what you do with it.