www.ukonline.gov.uk
This site aims to tell you "everything" about the UK government. For Scotland go to http://www.ukonlineforbusiness-scotland.com

www.statistics.gov.uk
This is the site of the National Statistics Office. It's updated regularly.

www.hmrc.gov.uk
A really excellent site. Advice for small businesses and those going self-employed. It's surprisingly helpful and full of useful information.

www.companies-house.gov.uk
This provides information for limited companies, including name searches and basic company information.

www.dti.gov.uk
The DTI website has a wide range of information, including grants, exporting and industry specific issues.

www.hse.gov.uk
Government health and safety advice.

www.royalmail.co.uk
The Royal Mail site. You can order stamps and lots of other things here.