In reply to M.Allan:
I use a Trango Cinch for sport climbing which operates in a very similar way to Grigri. Having used both I'll say the Cinch is much smoother for giving out rope. On the down side the handle is rather short if you have a bag hand. Overall I would prefer it to Grigri. It's much smaller and lighter. Not much bigger than a standard belay plate.
I don't know anyone who sell Cinch in UK so I got mine in US ebay (new) for around 30quid (plus shipping). You should be able to find a Grigri for under 40quid if you search Froogle.
Cheaper options are Camp YoYo and Wild Country Single Rope Controller. I have used YoYo works OK for locking but not so smooth on paying out or lower down.
Most climbers manage without any of these self-locking devices. However they're nice if you sport climb frequently and your partners are heavier than you.