I completely agree with what Gareth said above. There have been several sets sold exclusively in the Uk and Europe throughout Lego's production history. However, if what you are asking is recent or more unique/exciting ones, then I can think of a couple off the top of my head.
Lego BR toy minifigure sold(if I remember correctly) in BR stores in the UK:
Brickset BR toy
Team GB series sold in UK and maybe Europe:
Brickset GB team
DFB German football team sold exclusively throughout Europe(possibly only in Germany):
Brickset DFB series
London bus given at store opening in London:
Brickset London Bus
Royal Guard buildable figure exclusive at Leicester Square store:
Brickset Royal Guard
I know the 2 Lego CLub Max minifigures is exclusive, but I dunno if it was only sold in UK/Europe:
Lime Green Max and Regular Max
The lego House minifigure/ set was sold in Billund stores:
Lego House set
The Legoland train is exlusive to Florida and Denmark:
The 2 Nesquik bunny sets were available in Germany, New Zealand, and Australia(who doesn't like chocolate milk?):
British exclusive minifigure Lester(not Chester, if you saw my edits):
Lester minifigure However, it's been a while, so I don't think you can still get this from the scratch ticket.
Oh, alright, you caught me. I used Brickset. Sorry for the long post. This is about all that I could find/think of. Some of the entries that I found, I wasn't sure of, so I didn't post them.
Please note that the places where they are sold are based only on my memory.