Anything that isn't nailed down and some things that are?
Serious answer - It depends on how you define 'we', since the UK now has virtually no nationally owned military industry. Pretty much all the famous/big companies have been absorbed into BAE - which despite being head quartered in the UK is mostly owned by American investors now - and the little ones like Accuracy International are private anyway and couldn't sustain themselves simply on sales to the UK military.
BAE will sell you anything from a bullet to a destroyer and anything in between.
We do of course have export restrictions on where military goods manufactured in the UK can be sent to but there are some pretty repressive regimes on the allowed list - Bahrain for one that I know of.
