Hi BellyBally, the easiest way from either Leeds or York would be to use East Coast trains into Kings Cross but it doesn't surprise me that it is coming up at £400 for 3 adult return tickets for travel less than a week away. The cheapest ones will have long gone - you need to book months ahead to get them. If any of you are legible for any of the various railcards then it might be worth buying one because it would cut the cost for that person by a third. For example, anybody who is over 60 will recoup the cost immediately on any ticket that is going to cost more than £90.
A cheaper way if you can reasonably easily get there, would be to travel from Sheffield with either Virgin or Cross Country into Euston or with East Midlands into St Pancreas International where 3 return tickets for your dates are coming up at just under £240 depending on the time of day you want to travel.
However, whichever station you arrive at, all 3 are in north London - the most straightforward way of getting to the O2 arena from all of them is probably to use the Tube. Get the Northern line to London Bridge and then change onto the Jubilee line to North Greenwich which is the nearest underground station for the arena.
Also, whichever train company you use, you will usually get the cheapest deals by booking direct on their individual websites rather than using something like the Trainline. Alternatively, if you do have a rail station with. Travel Centre or booking office in it reasonably close by to home it might be worth going in and speaking to the booking clerks. I find that they are usually on the ball about the best deals and also whether the cheapest way of doing it might be to buy split tickets eg Leeds to Peterborough and then Peterborough to Kings Cross.
Breaking up British Rail was supposed to make it cheaper to travel by rail because the different companies would have to compete - frankly as a regular rail user, I thing that the main outcome has just been to make things ever more confusing for the passenger!
SM