In reply to Fraser:
As others have mentioned its pretty much limited to the indoor bouldering wall at Kelsey. My only word of warning is that it gets really busy in the evenings (and really hot and stuffy), probably the only place I've seen resort to a '1 in 1 out' ticket policy!
Other than that there is Big Rock in Milton Keynes which is pretty good, both for bouldering and lead. Probably a bit of a pain to get to on public transport but I know Cambridge Climbing Club used to meet on Tuesdays at Kelsey, so may be an option to get friendly with those guys as they tend to go between the two I think.
For actual rock........well if you find anywhere decent nearer than the Peaks let me know!