O2 simply don't understand data - in the UK they have data tariffs that are beyond a joke (you'd have to be insane to sign up) and their 3G network has no HSDPA support, nor is any planned. If you are remotely interested in data, avoid O2.

T-Mobile UK on the other hand offer quite reasonably priced data tariffs - £7.50 ($15) for 1GB HSDPA (3.6Mbit/s) isn't too bad but it doesn't allow modem usage, for this you need to pay £12.50 with an increased 3GB cap. Three offer a 1GB capped HSDPA service for £5/month ($10) - again no modem usage allowed but they don't seem to care if you do - and there is a rumoured £10/month 10GB service (including modem usage) coming soon on Three which will shake up the data market if it materialises.

Mobile data isn't cheap, but it's not prohibitively expensive either and it will come down in price as competition increases, perhaps to the point where it replaces fixed line broadband for some users.