You can get your cylinders filled for free when you play.
(But it depends on air or co2)
For where to play it depends on what you're after - for 'true' scenario you are going to have to travel throughout the year to the events.
If you're lucky then a site nearby may run scenario walkons (the only one I'm aware of to fully do this are NPF at Bassets pole) but walkons are dependant on & catered for the regular customers, so they do exist with a scenario slant
I'm defining the types of games as:
Punter: standard first time/occasional paintball - the majority are woodland but there are different types of venue
Walkon: probably monthly at an existing site with mostly regular players
This can be pretty much any style of paintball but generaly a slight variation from punter players - on the same woodland (or some other) venues as punter
Tournament / speedball: competitive play, in teams, preferably on a nice flat field with inflatables
Scenario: defined by the theme of the game, usually a specific event is once per year, but the calendar is always full these days with at least one per month somewhere in the uk. Most are on established sites (so woodland or the odd other ones) usually played accross the whole site and not just each zone. Also non paintball venues are used - such as army training areas, once only in reading shopping centre, in underground tunnels etc
You can find out about the games on the forums and on the paintball calendar:
In general use multiple forums for your interests, you will find the same people on many uk forums as we are all just paintballers and have a variety of interests:
This is the best forum for tournament information
Www.Ukscenario.com is the forum for scenario information
The calendar lists all known events:
http://www.paintballcalendar.co.uk/categories