I had a faff activating the micro sim in the Apple iPhone 4. The O2 page talks about activating the phone and activating the sim card and I confused the two.
After leaving the iPhone overnight with a screen message “Waiting for activation, this may take some time”, I realised I had to complete the O2 Sim Swap page as well. Three hours later it still hadn’t activated. So I removed and reinserted the sim in my iPhone 3GS which immediately came up with no service (deactivated successfully) then inserted the micro sim in the iPhone 4 which immediately activated.
Hope this helps someone else.