O2 PAYG from CPW should be unlocked. I got sick of waiting for O2 to catch up and bought mine from CPW on Orange PAYG after checking with them that it was unlocked. The phone has no Orange branding and is working perfectly with my O2 sim in it.
Hi, I was going to make a separate thread for this later on tonight but as I saw your post I thought I'd mention it here too.
I am selling on behalf of my father a brand new, unbranded, unlocked desire that was sent to him as an unwanted upgrade. The phone is still in its original box and the manufacturers seal is still intact.
I was previously using a Nokia N85. As part of the Desire setup wizard it downloaded the WAP and MMS settings from O2. I can't remember if I had to manually enter the number for voicemail or not, but everything just worked.