Sometimes SIMs are delivered without their own phone number hard-coded into it. While this is not necessarily an issue regarding functionality, it can have a few aesthetic repercussions, namely that your own contact picture does not show up in SMS / chat threads and the like.
With Android, you are not able to edit the SIM directly and therefore you will need to put your SIM into another phone, program the number in and then move it back over to your ‘droid handset.
There are a whole bunch of handsets that will allow you to do this, I personally used a Blackberry Storm:
Options > Advanced Options > Sim Card > Edit SIM Phone Number
Enter +44xxxxxxxxxxx (insert your number for the Xs)
And there you go!
Vodafone Forum thread on the subject can be found here:
http://forum.vodafone.co.uk/t5/Google-Nexus/Nexus-One-Phone-Number-Unknown/td-p/396799