Every month I visit London from Italy, where locking phones to service providers is illegal, and the last time I brought my iphone 3gs. Went into an Orange shop, explained to the guy that I wanted a PAYG data/voice card for my iphone, bought it, and popped it in. World of pain:
1. Couldn't find the settings for the internet connection in the sim card docs, so called customer support to get the APN address. This is a very basic setting. After holding for half an hour, the customer service guy told me that he didn't know and that the department that knows was unavailable until the next day. Your Orange iPhone would probably come set up, so you wouldn't have this problem, but the more applicable conclusion is that ORANGE CUSTOMER SERVICE SUCKS. They can't even answer the most basic questions.
2. iPhone refused to log into 3g, and would only work on GPRS, which is painfully slow. Again, this probably won't be a problem with Orange iPhones, but I was quite obviously sold a sim card which is not fit for purpose. The most charitable conclusion I can draw: ORANGE SALESPEOPLE DON'T KNOW WHAT THEY'RE DOING. At worst, something doesn't quite work between the 3gs phone and Orange 3g network.
3. Finally, and probably most importantly, I tried to grab a bit of porn off the web with my iPhone. My usual site was blocked by Orange, and I received the message that I have to PROVE to them that I'm over 18, and to give them a ring to sort it out. What?! It's not their place to filter my content. If they want to 'protect kids', have an opt-in system, not opt-out. Not only that, but straight after, many other sites I tried to access (including singletrackworld) was recognized as porn, and therefore blocked. Unbelievable. Conclusion: ORANGE WILL BABYSIT YOUR USAGE, AND IT WILL DRIVE YOU CRAZY
After the second day, chucked the card in the bin, went into a T-Mobile shop, bought a standard sim card, popped it in, and it worked perfectly straight away. APN settings auto populated, 3g without a problem, and all the porn I could download.
So in my opinion, stay as far away from Orange as you can. Can't speak to the quality of Vodafone…
The best thing, if you can afford it, is to grab an unlocked iPhone from italy, for 600 euro or so, and then you can use whatever network you want, with low switch cost.