just from experience, my nokia 6630 which is on orange, hasn't had this problem that you mentioned jtaunton. it switches very seamlessly between 3g and 2g, and ive never had any probs with it. however i believe phones on the 3 network do suffer from this - they'd rather you use their weak signal, than pass you onto the o2 network which costs them.
i must say i also use o2, and reception only slightly varies between them. on an extremely localised basis , i will sometimes see a difference (ie o2 won't work in tescos, orange will, etc...)
check the network's websites for local coverage, and choose the best. there shouldn't be much of a difference between them. on orange, if you make a call and get cutoff, you get an extra minute of airtime on your next bill, that's how 'confident' they are.
id recommend orange 1st overall, however o2 online (you can only get your bills online) comes in 2nd. i haggled when my contract finished, and now have 500mins, 400 txts for £25/month! (compare that to orange's 500mins, 120txt for £25 which i mentioned earlier). IMO, t-mobile have a crap network, but improving cust serv, vodafone are just too expensive, and 3 seem to have a bad network and very bad cust service.