The INITIAL class one must be done at the CAA in Gatwick. It costs around £350.
http://www.caa.co.uk/docs/49/SRG_Med...harges2012.pdf
The following class one medicals can be done with your AME locally (although some doctors can only do class two, so best to check)
I think that they get grumpy if your BMI is 35 or more at the initial class one. I could be wrong there.
It's a lot of money, but it is best to go and get that out of the way before you start spending tons of money on your training.
Good luck!