I actually just used the phone shop under the bridge at the top end of Waterloo Road last week. It was a locked US phone which I desperately needed unlocked as my Samsung S3 is in the shop. I had nothing to use. It wasn't an easy unlock (I tried several places up by oxford st) and everyone had told me it couldn't be done. - They managed it.
I am now luckily using my US T-mobile branded phone while my main one is in the shop. I highly recommend them and I have no affiliation what so ever. Just a REALLY happy customer.
What I didn't realise until recently was your provider must supply you with the code to unlock the phone when your contract expires. Orange charged me £20 recently and this way maintains any warranties too.
O2 have a form on their website to request unlocking. Undoubtedly there are some conditions that I'm not aware of, but they unlocked my (still in contract) iPhone without any fuss. I think it was free of charge too.