Firstly decide what domain type ( TLD - Top Level Domain)you require:

• .co.uk For a UK company. This should be your preferred TLD (Top Level Domain) if you are targetting customers/visitors within the U.K. You are more likely to come up as a local/U.K. business on the search engines.
• .com For any company, local and/or International.
• .org For an organization.

There are other domain types you may feel more appropriate:
.name
.cc
.uk.com
.gb.com
.gb.net
.eu.com
.org.uk
.me.uk
.net
.info
.biz
.me
.eu
.mobi
.tv
.uk.net

Secondly, think of what domain name you'd like. You may want to use your company name ie: yourcompanyname.co.uk However, this is not always possible either due to another company with the same name or someone "cyber-sitting" your domain (in the hope of selling it to you later at an inflated price). If this is the case you may want to try different blends of your company name. eg abcshoes.com you could try abc-shoes.com, shoesatabc.com or you could even change it altogether to something like good-quality-shoes.com. This last example may not reflect your real company name but it does have a good "searchability" factor. Think of it....if someone was using a search engine to look for "good quality shoes", the search engine will pick up on your domain name, (you would however still need to optimize your site and your keywords for the search engines ir: Google, Yell.com, Ask.com, MSN etc).

Try not to make your domain name too long, if you have to have a lengthy domain name make sure its one that is easy to remember.

As a recommendation, and if available, do take both your .com and .co.uk domain names. This is a measure to stop your competition using the other domain name to "steal" your customers or even smear your company.