Go half way down the page to an answer from Chris_O2
http://community.o2.co.uk/t5/General.../183616/page/4

3. The Information We Collect
We collect such information as:

your name;
billing address;
installation address;
delivery address;
telephone number;
your use of products and Services including but not limited to phone numbers and/or email addresses of calls, texts, MMS, emails and other communications made and received by you and the date, duration, time and cost of such communications, your searching, browsing history (including web sites you visit) and location data, internet PC location for broadband, address location for billing, delivery, installation or as provided by individual, phone location;
how your conduct and manage your account(s) with us;
your use of O2 Money products and card services including but not limited to details of your ongoing payments and transactions, including those with retailers and our partners;
debit or credit card details, banking details and other payment information;