You have a right of access to information about yourself under the Data Protection Act 1998. This right gives access to various records about you, such as those held by government departments, employers and companies that you have done business with.
You are entitled to information held by public authorities under the Freedom of Information Act 2000. This right applies to all sorts of information held by public authorities, such as local or central government departments.
This should normally be quite easy, a company name or address on a letter, statement or bill you have received should give you the information you need to make a request for access. In other cases, for example where you want access to your police or medical record, you will need to contact your local police station or medical practice to find out how to make your request.