There's a bit of work involved in getting this done, but it ultimately means you can get a an unlocked HTC Desire 510 for £81.98. Considering the cheapest sim-free version is around £30 more expensive, it might be worth the hassle.
All you need to do is buy the phone from O2, and then once you receive it got to the eBay listing linked above and follow the instructions to request an unlock code. You'll be sent it in the post, meaning it will remain unlocked for good. If you're looking for a cheap phone capable of 4G with a good battery life, and don't mind it being fairly budget in other areas (like the screen and the camera), the HTC Desire 510 is certainly worth considering. Thanks to pmackers @ HUKD!