Closest station to the O2 Arena is North Greenwich. That’s the winner. It’s on the Jubilee line. It’s basically inside the venue. No other station comes close.
If you’re coming from outside London, take a mainline train to London Liverpool Street or London Waterloo, then hop on the Tube. It’s one transfer. You can handle it. You’re a grown-up with concert tickets.
Just don’t get off at Canary Wharf by accident. That’s a different shiny place. And nobody wants to explain to their friends why they ended up at a bank instead of a gig.