There is supposed to be a map showing coverage across the UK, by provider. It's prepared by Ofcom, but I understand that for some reason it's state secret and ordinary punters aren't allowed to see it.
My limited experience in Scotland is that O2 and Voda are pretty comparable, and the others not as widespread. Three is usually the least likely to give a signal.
You should be OK in towns, but out in the wilds/mountains/glens you'll be lucky to get a signal from any of them.