The National Archives is the UK national repository of government documents from "the Domesday book to the present". It will be particularly useful if you are trying to research your military ancestors.
Note that if you want to visit the archives and actually read stuff, you'll need a reader's ticket. It is worth doing thisin advance which can be easily done by visiting the National Archives website.
A full list of what you are allowed to take into the reading rooms is also available on the website.
Phone 020 8392 5200 or e-mail firstname.lastname@example.org
See also National Archives of Scotland.