You can opt to have your pension taxed at UK rate by Inland Revenue or taxed in your new country. Military pensions have to be paid into a UK bank account (I think). A really sneaky person might open an offshore bank account in the Isle of Man or Channel Islands and might not declare it to the new country. Mind you, most tax authorities have sneaky ways of making banks and government departments talk nowadays and if you are caught then the resulting tax bill can be quite horrendous.
One tip which is worth passing on - open a foreign currency account with your offshore bank (currency of your country of choice) and shift money from your sterling account to your foreign currency account to take full advantage of any favourable currency exchange rates. Try and shift money to your local foreign account as few times as possible 'cos the banks charge an arm and a leg to move money. I try to do it annually.