I transferred directly from my CU in the US to Barclay's here in the UK. It was kind of a PITA because my bank wanted me to sign/scan a form to them and then confirm by phone that I approved the wire, which meant I had to call them several times over skype for it to go through. The original paperwork was wrong as they mixed up my account number and the SWIFT Code on the form, so they had to generate it again, which meant more scanning/faxing/phone calls. During this process, I transferred $1000 through paypal to my DH and he then transferred it to my UK account and it took about 20 minutes and we got a 1.51 exchange (this was over the Easter weekend). It only cost me $5 through Paypal.
The wire transfer cost me $30 from my CU, 6GBP from Barclays and I only got a 1.52 exchange rate, so I think next time I will just transfer a bit at a time through Paypal. I'm only doing a few thousand at a time, so not massive amounts.