Just switched to an unlimited data plan for my N95 8gb. Ive found Fring, Slick IM and sometimes Opera Mini will not connect via WAP/3g etc. My built in browser will work no problem.
Its probably the case that as long as you don't go overboard you can use it for whatever you want. But if you do end up in a bill dispute you won't have a legal leg to stand on.
If you use a VPN connection O2 can't tell what you're doing with it - or whether or not it's being used as "modem use" (o/t but that really is an inappropriate term - its not a modem, it's a protocol converter or router at best ;))