You are right the 02 is far more superior. An Experience that you will never forget, only drawback is that the parking is expensive, going by train best bet if you can.
both are on the Jubilee Line; if you can get to one you can get to the other. I don't know the Wembley Arena, but the upper seats in the O2 are extremely steep.
O2 upper seats are truly frighteningly steep.Not advisable if you hate heights. My Daughter had a panic attack and could not stay up there but they kindly seated her below.
Regardless of how good it is, there is a limit to the distance I'm prepared to travel to watch/listen to some entertainment. I can't see me making the trip to the Millenium tent, to be honest.
Just to say as well, thankyou to all the replies on the post. Much good advice which was very much needed. Thinking Nottingham may be best and easiest bet!x