An initial Class 1 medical costs £400. It can only be done at the CAA's offices in Gatwick, and takes around 3-4 hours. Call the CAA to make an appointment. I know - I did mine last week!
But you'll only want that if you're aiming to be a commercial pilot. If you're not planning on going any further than Private Pilot, then a Class 2 medical is fine. This can be done by any Authorised Medical Examiner (your flying school probably has a list, and if not I'm sure it's on the CAA website somewhere), and price varies from one doctor to another.
FFF. .---------