I have self-published print books in the UK through Lulu. I don;t think there is anything specific there that we in the UK need to know about.
In one case, the delivery of an SP book took many weeks because it was printed, due to its format, somewhere else - Sweden, I think. Payments for books that had been bought came through swiftly and without a problem.
I am now about to self-publish through Kindle and Smashwords. I believe that there my be delays with payments if you have not got an ITIN. I have applied for mine already as I have an agent who wrote me the necessary letter, and hopefully I'll get it soon, but if this is your first book you may have to wait to apply for an ITIN till you hae actually sp'ed your book. Check out Scarletpeaches thread on obtaining an ITIN.