Running several low power items off one electric outlet in usually
achieved by using a strip of plugs on a flex which is plugged into the
single outlet. These strips are widely available in UK stores but
never have on/off switches for each of the individual plugs on the
strip (tho such strips can be found in street markets etc) Why is
this? What electrical risk is being avoided (if any) Is there a
law/regulation in the UK about it? And worldwide....(opptional extra
if you happen to come across it)?

4-way individually switched socket strips are sold in both 
Maplin www.maplin.co.uk search for product code VJ94C
Argos www.argos.co.uk search for product code 982/7174

6-way individually switched socket strip sold at B&Q
http://www.diy.com/bq/product/product.jhtml?PRODID=15160&textLocation=top

6-way individually switched surge-protected socket strips are sold in B&Q 
http://www.diy.com/bq/product/product.jhtml?PRODID=140255&textLocation=top

One of the widest ranges of power strips for the industrial market are Olson
http://www.olson.co.uk/standard.htm
They have a range of switched strips at
http://www.olson.co.uk/fused_super_slim.htm
Although aimed at industrial users their web site shows they take
credit cards and doesn't mention any minimum order.

Owain

Speaking from the other side of the "pond", my experience in the US is
that most "power strips" as we call them typically have but a single
switch (or none at all) for the entire set of sockets.  I'm sure that
this is a fairly cost sensitive design issue, and most devices which
one would plug into the "extension" strip would be equipped with their
own switches anyway.

regards, mathtalk-ga