EDGE, WiFi and GPRS actually work for the overwhelming majority of iPhone users, but they don't post messages on a help forum because they don't need help. Even the ones who are having trouble usually get it working in short order once the difficulties are identified.
If you are in a known EDGE coverage area but you don't see an "E" or a "fan" icon to the right of the carrier name then call O2 and verify that they have enabled EDGE on your account. As the iPhone is new to them also they may not have their act together. If you do see the E (or even if you don't) tap the Safari icon and enter a well known web address (yahoo.com, google.com, etc) See what the error message is (if you get one) and post it here.
The best way to test WiFi is to go to a known hot spot. Apple stores are always a good choice, but anyone else who advertises free WiFi is also a good choice. Once there tap the "Settings" icon and choose WiFi. Make sure it is on, and wait a few seconds. You should see a list of available connections. If you are in a free hotspot you should see at least one network name, and not see a lock next to the network name. Tap the network name abd it should connect in a few seconds. If you tap the arrow you should see the network parameters; these were automatically assigned by the hot spot. Sometimes a hotspot requires you to sign in; to check, press the Home button, then tap Safari. Enter a web address you know: google.com, yahoo.com, etc. If the site requires login their home page will display instead of the URL you entered. If either this happens or you get to the URL then your WiFi is working.
If you have your own wireless network you can use that, of course; to make it easy temporarily turn off encryption using the router's "control panel", which you can get to through your web browser, usually at
http://192.168.1.1 (but check your manual for your router).
Let us know the results and we should be able to get your Internet access working straightaway.