Filing three years of back taxes - help!

After 3 1/2 years in the UK, I am finally getting around to filing my taxes. At first, I didn't think I needed to file but now realise that I do after reading this forum. I've read several threads and posted here for help previously, but I'm still confused. I just want to get all this sorted.

I'll start by saying that I've never in my life filed my own taxes. Before I got married, my parents always did my taxes for me. I haven't got the first clue what to do or how to fill in these forms. I called the IRS Philadelphia number and spoke to an agent for over an hour. Unfortunately, I didn't find it very helpful as she sounded like she was just reading from an official manual and didn't really answer my questions. I felt like she was talking over my head, even when I asked her to repeat her answers and explain them further. 

At the end of the conversation, this is what I think I understand. I need to file:

2005:
1. Form 1040X (to amend the incorrect 1040 my parents originally did when I first moved to the UK. They only included my US income up to the date I moved, but didn't include my foreign-earned income for the rest of the year)
2. Form 2555 or 2555-EZ (I'm not sure which of these is the right one for me to use. The agent on the phone just said the EZ form is shorter and I have to decide which one is best. I can't tell a difference. Advice would be appreciated!)

2006:
1. Form 1040
2. Form 2555 or 2555EZ

2007:
Same as 2006

Here's some of my other questions:
1. Do I file as "married filing separately"? My husband is a UKC and has never lived nor worked in the US.
2. What is an exemption? Do I exempt myself, my husband, neither or both? What is the benefit?
3. When filling out the previous year forms, do I put my previous address (i.e. the one I was living at during that time, or my current address?)
4. The agent said my husband would need an ITIN and I'd have to fill in form W7. What is this form and why does he need it?
5. Where do I file? The agent on the phone said to mail everything to the IRS in Austin, TX, but I've read that lots of Americans take them to the US Embassy in London.

Sorry for such a long post and sounding so thick. I'm just completely baffled by all of this. I would be extremely grateful for any advice anyone may have.

Thanks!

I can answer some of your questions (or at least tell you what I do).

1. I file married filing separately. I'm also married to a UKC who has never lived in the US. I think this is probably what you want to do as well.
2. I remember posting this question before. I'll see if I can locate the thread.
3. Not sure about this.
4. Your husband doesn't need and ITIN. They always say this, and I don't know why. I think that even if he tried to apply for one, he wouldn't be able to get one. Just write in Non-Resident Alien in where it asks for the SS/ITIN. I have to handwrite this in, and it prevents me from filing electronically. But it works just fine.
5. You file through Austin, but you can bring (and I think send) your taxes to the Embassy in London, and they will forward them on for you. I walked mine in last year since I worked around the corner. The other benefit is that they stamp them (and a copy for your records) as being received.

Hope that helps. It takes some time to work it all out, but once you do, it should be pretty easy going. Don't forget that if you have had $10,000 in a foreign account in your name at any point you need to file a TD F 90-22.1. I'm not sure how late filing with this works at all, but hopefully someone might have an idea if it applies.

I found my thread relating to question 2.

http://talk.uk-yankee.com/index.php?topic=42988.0

Thank you so much Kate! You're answers are a huge help. As for the TDF 90-22.1, I don't think this one applies to me because I've never had $10,000 or anything close to that amount in my UK bank account at any point since I moved here. Sadly, we're usually overdrawn instead!

Thanks again!

No problem. 

I too had never filled out my taxes before last year. When I lived in the US, my accountant (aka my good friend  ) did them for me every year as a favor. Last year was the first year I had to file from abroad, so I took a bit of time working it all out, with lots of help from this board. Once you work out the fiddly bits, and the language on the forms, it is not too bad.