I 'd been with Orange for about 12 years when I decided to move to o2 to get the iPhone - and I really wished I hadn't.
First of all, on Orange, you're probably used to very good call quality. Well you can forget about that - calls frequently sound a bit muffled / hissy - and certainly nowhere as good as on Orange. o2's coverage also leaves a lot to be desired - despite the claims that they have the best network there are an awful lot of blackspots in places Orange has great coverage - and there seem to be more blackspots in general; perhaps unsurprising as I've since found out that o2 have a lot less transmitters than Orange (or any other network).
Then there's the annoyance of delays to delivering text messages, calls going straight to voicemail, and voicemail alerts appearing 2 days after a message was left.
Add to the mix the fact o2 are in danger of losing their 3G license because they've failed to roll out the minimum 80% population coverage (Orange are at c95% for 3G and 99.5% for landmass) and you're left with a network that will drop your calls, be unavailable in many of the places you're likely to go and above all else will make you realise that Orange is much much better.
I'd get an iPhone and unlock it and use it on orange if I had the choice again.
I also moved from Orange to O2 (albeit not for the iPhone) and had completely the opposite experience.
1. Orange coverage in this area is inferior to O2s by some considerable margin (I had real problems using Orange at work, for instance, not so with O2). So far I haven't had a problem anywhere I go....
2. Sound quality. Absolutely NO difference whatsoever (bearing in mind that I used similar HTC smartphones with both providers).
Being realistic about this, it's going to be very much down to where you are and what phone you are using. Both networks offer good coverage, but there are some variations between them from one area to another. Another minor point is that I was with Orange for years, but had noticed their customer service deteriorating somewhat - o2, however, are as good as Orange were back in the early days.
O2's broadband deals for cellphone subscribers are just the icing on the cake - currently on a 16mbit down, 1.3mbit up deal with a static IP and no cap for £15 per month (actual speeds are close to that - about 14mbit down).