Hey Craig!
Good call - I'd definitely recommend choosing an integrated payment gateway, so you use Shopify's natural checkout process. It's a lot smoother for your customers.
We've got quite a few payment gateway options for you in the UK: http://www.shopify.com/payment-gateways/united-kingdom
I'd recommend stripe: https://stripe.com/gb
It's the quickest, simplest to get set up with (they've just recently launched in the UK).
Cheers!
Dylan