Chooch is right on about Edinburgh. Great town, and when I was there a few years back they had a variety of convenient massage places downtown. I only stopped in one, but it was like a mini-brothel and it did have the line up of ladies (well, the madam brought them in to meet me one by one, then I made a selection).
When I was in London, the prices just seemed too outlandish for me to indulge ... but I guess I was looking in the wrong places.