"An application for initial admission, change of status or extension of stay in E-3 classification, however, may not be denied solely on the basis of an approved request for permanent labor certification or a filed or approved immigrant visa preference petition."
So, you can enter the DV lottery, or apply for an employment based green card. But you still have to be able to prove you intend to return to your home country at your next E3 interview which is something you have to do anyway but I guess it would be a bit harder than if you had no GC applications.
"An application for initial admission, change of status or extension of stay in E-3 classification, however, may not be denied solely on the basis of an approved request for permanent labor certification or a filed or approved immigrant visa preference petition."
That's straight from the horse's mouth: http://www.uscis.gov/files/pressrelease/E3PolGdnc_121505.pdf
So, you can enter the DV lottery, or apply for an employment based green card. But you still have to be able to prove you intend to return to your home country at your next E3 interview which is something you have to do anyway but I guess it would be a bit harder than if you had no GC applications.