Update 2009-01-16
I've found some additional resources about using the E220 under OpenBSD. This isn't Vodafone UK specific, and have not yet had a chance to try it out, but thought it would be worthwhile to consolidate related knowledge back to this thread:
http://www.jensolsson.se/?p=123
http://marc.info/?t=123148575300001&r=1&w=2