This is a general overview of on-line sources to check. It is not complete and will be updated.
Find my 18th and 19th Century Army Ancestors
Find My Past has published the complete WO 97 series of Army pension records on-line. These, as the title suggests, are records for men who left the army between 1760 and 1913 and received a pension. There are over one million records in this series.
WO 96 is the series for militia attestations and covering the period 1806-1915. There are around 500,000 records in this series and these too will be available on the Find My Past website from September 2011.
Ancestry has the WO 363 and WO 364 series on its site. Although both record series are supposedly exclusively First World War series for soldiers' service papers and soldiers' pension papers respectively, there are many thousands of service records and pension records which pre-date WW1. The earliest I have found dates back to 1850.
Find My Past has:
Army Lists for 1787, 1798 and 1878 (Officers)
Peninsula Medal Roll 1793-1814
The Waterloo Medal Roll 1815
Harts' Army Lists for 1840 and 1888 (Officers)
Indian Army and Civil Service List 1873
Anglo Boer War Roll 1899-1902
UK military campaign & award rolls 1793-1949 (BUT excluding WW1 and WW2)
UK naval medal and award rolls (BUT excluding WW1 and WW2)
UK casualties of the Boer War 1899-1902 (inferior to the Find My Past roll)
Dix Noonan Webb has published the following FREE medal rolls:
Military General Service Medal 1793-1814
Naval General Service Medal 1793-1840
Army of India Medal 1799-1826
Indian Mutiny Medal 1857-1859
Finally, Kevin Asplin has nominal rolls, casualty rolls and medal rolls too numerous to mention on his hugely useful site.