If you have a US keyboard and you're in the UK, or you have a UK keyboard and you're using US English as your base language, you should be changing it in System Preferences -> International.
Thanks to the above was able to solve it for myself. Bought my first Mac a couple of days ago and couldn't get the pound sign so changed the keyboard to British. Realised from some of your posts that the keyboard must stay as US and then Option+3 gives th epound symbol. Ta!