O2 are a bunch of sharks!
Have been a vodafone customer for as long as mobiles have existed and I always buy my phones unlocked in the UAE. Never had a problem switching my SIM from one to another and use my current fav a Nokia E90 as a 'last resort' for data transfer (USB connection), also use my E90 to pick up emails directly (not Blackberry or 'push' email) if I haven't taken my laptop with me never had a problem anywhere connecting to any network! data transfer costs can vary but they've never been an issue for me as I'll only use this method as a fall back if all else has failed