This site aims to tell you "everything" about the UK government. For Scotland go to http://www.ukonlineforbusiness-scotland.com
This is the site of the National Statistics Office. It's updated regularly.
A really excellent site. Advice for small businesses and those going self-employed. It's surprisingly helpful and full of useful information.
This provides information for limited companies, including name searches and basic company information.
The DTI website has a wide range of information, including grants, exporting and industry specific issues.
Government health and safety advice.
The Royal Mail site. You can order stamps and lots of other things here.