We get the occasional complaints on here but in general they seem pretty good.
I made a claim for my daughters phone a couple of years ago and it went fine. A replacement phone arrived within 24 hours.
You may find cheaper cover elsewhere and some bank accounts and house insurance policies may also cover you.
The advantage of going direct to O2 is that you don't have to validate your phone and prove anything as O2 already have the details of your device.
Other companies will require you to supply proof of usage etc.
You've got 28 days to shop around and ask questions before missing the chance for O2 insurance.