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I'm sure this has been mentioned, but it seems people are still having trouble.
I needed to add a voltage divider on the UNO TX -> ESP RX line. Failing to do this resulted in garbage from the ESP.
Arduino RX picks up the 3.3v signal just fine though.
Arduino clocked at 8Mhz can't do 115200 Baud
It seems the error level is just too high.
I believe changes in baud rate will be possible 'soon'.