In reply to a13x:
also look up the train company's "delay repay" scheme - if as a result of the missed connection you finish your journey more than a certain amount of time late [it varies between companies but generally 30mins to 1hr) you can claim back some of the cost of the ticket. You have to fill in a form and apply for it though.
This is as well as them getting you on the next connection without charging you for a new ticket