Data is included in every tariff and is unlimited on any service - Ordinary, Edge or 3G.
See:
http://www.o2.co.uk/iphone/paymonthly#tab-panel0_tab1 You also get use of exclusive wifi hot-spots put up by o2; only registered phones can use these. There are plenty about in most towns.
See:
http://consumero2.directoryconnection.com/ You can also make use of any Wifi connection that you have access to, eg at home.
I love it! Working in the garage while streaming Planet Rock, or watching live TV broadcasts from BBC1 or BBC2, or something I've missed on iPlayer!
Oh, it also makes calls too, apparently!