If you're using an iPhone, change your data apn to "mobile.o2.co.uk"
Make sure it's saved the new settings then reboot phone.
If that doesn't work, try manually searching for a different network.
If still not working, you'll need to call O2 to check for any bars on the account.
Advice from an O2 Guru regarding a way to get through:
If you call 202, when it comes to the reason you are calling stay silent for 15 seconds and you will be taken to the keypad options.
Press 2 for Everything Else
Press 5 for More Options
Press 7 for Anything Else which will put you though to someone.