Tried them all. Had the card working when I popped it into my contract iPhone but would not work in the O2 dongle.
The APN on the system for your iPhone will be idata/mobile/payandgo.o2.co.uk
The dongle will try for m-bb.o2.co.uk - which will be unavailable given the sim you are using.
If you go into the settings for the connection manager software, you can change the APN it connects to. Try some of the other's I mentioned earlier - you might get it working. Thanks!