I found an online yarn shop that sells Lion brand in the UK,
http://www.banyantreeyarns.com/ don't know if it's necessarily cheaper though (never used it either). It is a pain that yarn is so expensive - there used to be a wool shop (or two) on every main road when I was growing up and it was cheaper to knit than buy a jumper, but not it's seen as a hobby so therefore the prices have been cranked up!