I recently set up my phone to O2, and had trouble finding the correct settings. They are as follows:

Name: o2
APN: mobile.o2.co.uk
Username: vertigo
Password: password
MMSC: http://mmsc.mms.o2.co.uk:8002
MMS: proxy 193.113.200.195
MMS: port 8080 MCC 234 MNC 10