In the UK, it is required by law that from 6 April 2007,if landlords or letting agents sign the private assured shorthold tenancies, they must protect tenants' deposit via a Government-backed tenancy deposit protection scheme. So far ( as of May 2012) Deposit Protection Service (DPS), MyDeposits and The Dispute Service (TDS) are the only three schemes approved by the UK government. DPS is a free service to use while you have to pay insurance premium and meet certain requirements to use the other two.

In the new rule effected from 6th April, all the landlords or letting angents have to protect tenants' deposit within 30 days of receipt and have also to provide tenants the prescribed information within 30 days. Failing to do so, they can face a fine of 1 to 3 times deposit money. For more, check the following sites:
www.direct.gov.uk/en/homeandcommunity/privaterenting/tenanci
england.shelter.org.uk/get_advice/paying_for_a_home/tenancy_