How do I type umlauts and other special characters with Swype? I can change the swype-interpreting language, but the keyboard doesn't show me any special symbols.

HTC Incredible with Swype 2.4.44.10912.t100 (have not updated to Dec beta, yet).

I just want to swipe "Blue Öyster Cult" -- is that so wrong?
Press and hold the 'o' key.  At first you'll get a pop-up showing the left parenthesis.  Hold it longer and you'll get another popup showing accents for the character.