I was unlucky and got an OTB 1.1.2 today. I know I can't unlock it yet, but I would like to activate and jailbreak it.

From what I've read this should have worked:

I put the phone in dfu and did an alt+restore to 1.1.1, got error 1015 and used iNdependence to bring it out of restore mode. OK so far.

Did the jailbreakme.com thing, after clicking "Install Appsnapp" the phone returned to the activation screen as expected. But nothing happened. I have waited and tried it again, same result.

What now?

just re-restore to 1.1.1 I had the same problem
after restore, eject iphone, close itunes and open indep. and wait... it will work

This is most likely due to the fact that your ISP/Wi-Fi network uses a proxy. You could repeat the process again and again, but as long as you receive the page from the proxy, it will not work.

Go to a different wi-fi network, preferably one you know have worked for somone else and access AppSnapp from there.

Worked for me.

Cheers