Not connected yet. 11 days and counting since owning the phone. The Carphone Warehouse store I bought the iPhone from said today that O2 have now definitely set things in motion on their computer systems. Apparently they tried twice before but their systems came up with "fail" during those attempts. This time there was a "success" message. Why I had to come into the store to get them to try a third time I don't know.
Apparently it's not just me experiencing these connection problems; that Carphone Warehouse and O2 have now formed a specialised department dedicated towards getting all remaining customers connected to the O2 network.
Anyway, just before leaving the store I was told 24 hours and I'll be connected. Sometime tuesday 22nd then I'll be able to enjoy the full iPhone experience.
I don't doubt it'll happen for a second.