iPhone 4 and iPhone 4S will work in the UK if unlocked. However, the iPhone 5 LTE may not, depending on which variant of the iPhone 5 you are using. There are three different types of iPhone 5 on the market and the AT&T one uses an LTE band that is not used in the UK. You can still get 3G service, but for 4G/LTE service an AT&T iPhone 5 won't work.
I should also mention that iPhone's have country-specific warranties, unlike most Apple products that are worldwide. While this is what is on paper, many people have been able to obtain service in other countries. Might not matter if you are out of warranty on the phone.