I believe it's pretty common to go straight through from Bachelors to Masters to PhD in the UK (one of my friends from high school finished his PhD at age 25 - he did his Bachelors from 2001-2004 and then PhD from 2004-2007). I took a year out between my undergrad and my masters to earn money to pay for the MSc fees, but I moved to the US and started a PhD just 6 days after I had my masters thesis defence!
I applied for my PhD back in November 2006, only 2 months after starting my masters degree and was supposed to start it in Fall 2007 - I was studying for the GRE and getting my application together, at the same time as writing homework essays, preparing for a month-long field trip to Central America and writing a 20-page research project proposal - all over the Christmas vacation!
However, due to the nature of my masters degree, I was still going to be working on my thesis in October 2007 so I deferred the PhD start date to Spring 2008. But many UK masters degrees (taught, rather than research ones) have strict deadlines on course length and dates for thesis submission (e.g. you must finish by Sept 30th) and so after this date the students are often free to begin a PhD or a new job.
However, UK PhDs are generally quite flexible on start dates because most PhD students do not have to take any classes and so can start at any time during the year - whenever their supervisor agrees is a good time to start. A lot of students do begin a PhD in September or October anyway, but it doesn't have to be this way. One of my best friends started a PhD with his masters supervisor back in January, but he hadn't finished his masters thesis yet, so he asked for some more time and ended up waiting to October 2008 to start instead.