England BMD Birth Marriage and Death Certificates 

In England Civil Registration commenced in 1837 from then you can find BMD certificates - so its from 1837 that certificates apply prior you may be able to obtain a copy of a parish register entry see Ron's Intro to Parish Registers (PRs) - and Starting Research - Newbies Help etc for further explanation. Civil Registration - timelines and also http://www.genuki.org.uk/big/eng/civreg/ - parish registers  also apply after 1837 -  for marriages the data should be the same as a GRO marriage certificate.

The GRO index (sometimes called St Cath's ) is available on fiche at many places. LDS offices and places like libraries. In Sydney it is at State :Library and SAG and LDS FHC offices. The index gives you a reference from which you can then order a certificate  from the Government  http://www.gro.gov.uk/gro/content/ - email certificate.services@ons.gsi.gov.uk - at bottom of page there is more on ordering.

To order certificates at 7 GBP you need the full reference - the persons names and registrations district and year and quarter and page and volume - example Margaret LANKSHEAR Deaths June 1860 Bermondsey 1 d 7

Finding the Reference
GRO undex iis being transcribed but not complete yet and can be searched by name at FreeBMD http://www.freebmd.org.uk 
Just for completeness these URL also exist but use the above (http://www2.freebmd.org.uk/  or  http://freebmd.rootsweb.com/)  FreeBMD is basically updated every month with new transcriptions - check the coverage charts for years of interest  http://www.freebmd.org.uk/progress.shtml
100% may not mean complete - read FreeBMD comments - then back to look at images as appropriate.

FreeBMD servers are often busy - it may be faster to search the copy at Ancestry http://www.ancestry.co.uk/search/rectype/vital/freebmd/bmd.aspx
It is the same data perhaps a month or so behind but a different search engine and is easier for searching for middle forenames.  

FreeBMD now also has images of Index available - basically the documents are those they use for transcription. If you are searching for specific dates and your people do not appear with name search - then it is a good idea to check the applicable image - also if record shown in FreeBMD name search looks difficult - perhaps check the Image to confirm the transcription. Check the information pages for coverage by year charts. However the Ancestry images are I think faster and appear to be better quality.

GRO Images from 1837 were Free at Ancestry but from July 2007 they now charge for images http://www.ancestry.co.uk/search/rectype/vital/freebmd/bmd.aspx 
Ancestry call it BMD  but it is the GRO index.  Othert sites see Fee below also have the images.

The page also has a link to Ancestry's search engine of FreeBMD transcription which is free and perhaps a good start to try for 1837-191x - Ancestry search is usually faster than FreeBMD itself 

And there is a new FHS project which covers several counties - York Lancs Cheshire Staff Camb Kent etc http://www.UKBMD.org.uk and Free also For sake of avoiding confusion there is also  http://www.ukbdm.org.uk/  (which translates to  http://ukbdm.corpex.com/ ) this was free and was used for details of wanted and "unwanted" certificates. As of 2004 it now has an annual charge. 

DOVE - the GRO certificates are being digitalised and this will provide a much better search as well as certificates on line - sometime like 2009 - marriages etc missing from GRO index may appear in the DOVE index

Fee Sites -----If you do not find your folks at the Free sites there are chargeable site 
http://www.findmypast.co.uk/ or http://www.findmypast.com used to be 1837online  has images of the fiche. These images are very good - sometimes readable whereas the fiche is vague.  If you have a simple lookup it may help - using a  lot could be costly - make sure you understand the method before paying. (1837 also has 1861 census and are adding more).
http://familyrelatives.com/  which I have not used but someone else said the search was good - I gather you can register and try a search before paying to view which may be good for 20th century in particular.
http://www.thegenealogist.co.uk which has a variety of subsrciption offers - I find confusing - also census and parish registers.  
But difficult to see why you would use Fee when GRO seems to be Free on FreeBMD and UKBMD

REGISTRATION DISTRICTS IN ENGLAND AND WALES (1837-1930) http://www.fhsc.org.uk/genuki/REG/ 
Register Offices - http://www.genuki.org.uk/big/eng/RegOffice/

Simon Fisher has an very good and detailed page on London and Surrey registers
<http://www.sjfisher.pwp.blueyonder.co.uk/Def-London(Surrey)-Registration-Districts.htm#RANGE!A445>

Barbara has some good Help on BMD http://www.dixons.clara.co.uk/Certificates/indexbd.htm includes what is on certificates  

More on ordering certificates 
The place to order is http://www.gro.gov.uk/gro/content/ -  if you have the full reference the cost as May 2006 is 7 GBP 

Sometimes confusion regarding data needed - for historic certificates for example marriages you only need one spouse and the year quarter and reference (- page volume and district) - you do not need the other spouse and you may not even know anyway.

Some people still pay extra and order certificates from professionals but that is probably because the professional provides a total service but please be satisfied that the extra you pay is worth the service - 
Examples
1. http://www.ukfamilyhistory.co.uk/pricing.php charge 9.95 GBP  
2  The next charges a minimum of 25 GBP http://www.bmd-certificates.co.uk/price.html I am not sure what value these people offer -  for interest see  http://www.shareasale.com/shareasale.cfm?merchantID=8807 - this was discussed on London List in May 2006 - a newbie ordered from them and was concerned at the time taken and complained. Their response "The order was processed within 24 hours of receipt, and so it should be on its way now, subject to air mail delivery times, although there recently has been taking the full fifteen working days before despatch of certificate." I would note that at the time GRO had a delay in their delivery times - companies get their certificates from GRO and then send to their customers. 

NOTE: http://www.bmdindex.co.uk/info.htm who provide a chargeable access to GRO index say for certificate orders go to http://www.gro.gov.uk/gro/content/certificate/ as also do 1837online

Some people in Australia do use professional usually they also order their Australian transcriptions of BMD through the same professionals.