Although many caterpillars are plain green or brown and difficult to identify, other have amazing colours, beautiful markings or weird shapes.
The Moths Count brief guide to caterpillars contains many colourful photographs and is very useful for identifying the species you are most likely to come across. (Please be aware that the leaflet is a large file and so may take some time to download.)
The following books may also be useful for caterpillar identification:
British moths and butterflies: a photographic guide. Chris Manley, 2008. Contains photographs of over 300 species as caterpillars, pupae or eggs.
Caterpillars of the British Isles, Jim Porter, 1997. Photographs of all macro-moth and butterfly caterpillars.
If you are unable to identify a caterpillar then you may be able to narrow the options based upon the plant on which it is feeding. The Foodplant List for the Caterpillars of Britain's Butterflies and Larger Moths by Tim Crafer (2005) is very helpful for this.
Failing that, the final option to consider is rearing the caterpillar through to the adult stage and then identifying the moth that emerges.