There's plenty of very good wine available in the UK. You need to pay attention to the type of grape/blend and region that you prefer, then search out wines that fit those requirements and try loads of different types until you find some that you love.
For day to day wine, Sainsbury's have a good selection and that is normally where I end up. Even ASDA stocks some really nice stuff, but you probably need to avoid the 3 for £12 offers - they aren't usually great wines.
For special wines, I use an online wine merchant like Wine Direct. Be prepared to pay high prices at places like that though. I usually do an order once per quarter, and stock up on Italian, Californian, South African, etc wines that are much higher quality than I can get at the supermarket.
I've used wine clubs in the past and have had mixed results - sometimes you end up with stuff that just isn't great, but end up paying quite a bit for it. I much prefer seeking out single bottles that are similar to others we like and experimenting rather than having someone else choose wine for us.
It's just like anything else when you move to the UK, it's going to take some trial and error and research, but eventually you'll find a wine that meets your needs. Happy drinking!