There are a few questions here!
Firstly, just because the O2 website shows an area as being 3G enabled, it doesn't necessarily mean it is universal

A Cell can cover a wide area, and if you are closer to a 2G only cell, that one may connect by preference due to its stronger signal. I would have thought however that Exeter was big enough to have a 3G mast somewhere near the centre- indeed O2 coveage map says 3G is across the city, but that there is no HSDPA current or planned.
Their advice about 3g to 3g handsets is only valid for video calling- both phones have to be 3g and both within a 3g area. This obviously doesn't hold for data
Even with normal 3G, you may be able to get the 384kbps connection, but you need to make a good case for it, otherwise you will be constrained to 128kb over 3g and around 1Mb on HSDPA if you ever go soemwhere that's enabled.
For normal light web browsing and email, you won't notice much difference between 3G and GPRS, but for more sustained browsing and file downloads the faster connections will make a big difference.
O2 Technical Support do have a dedicated Data department, but I think you need to go via normal CS to get there. Once you get through to them, stress that you use mobile internet a lot, and want the full speed available.