Can I just say, further to my last post I have cancelled my order with Vodafone.
They have totally screwed up the iPhone 4 launch and their Customer Services are a total joke, they have been utterly infuriating and downright rude to deal with. If you are thinking of switching due to their bigger datacap or better 3G coverage let me tell you, it's not worth the hassle.
I have gone with Orange in the end, they are about to merge their network with the existing T-Mobile network so they should end up with the best 3G coverage in the UK shortly, they also have great customer service (so far) and let's not forget those half price cinema tickets...
Never used them before so should be interesting!