Whole Foods is particularly good for obtaining those more specialty items that you can't find in the local Tesco, Waitrose etc. I go to buy veggie burgers, soya yoghurts, different types of tofu, and other treats that are harder to come across. Unfortunately the vegan suitable items are not labelled on the shelf so you need to read labels on the product itself. Also does not cater particularly well for vegans at Christmas for items such as puddings, gingerbread and so forth. Expect to pay a premium for shopping at a health food store.
Cons: Fairly expensive, Vegan items not clearly labelled