From the Official UK Citizenship guide...

And I quote... "The Scottish and Welsh will usually say that they have British (or UK) citizenship, but that their nationailty is Scottish or Welsh. In Northern Ireland, some people say they are British, some people say they are Irish and some people say they are both...People born in England will more often say that their nationality as well as their citizenship is British."

It's amazing isn't it? All those people who who despaired at Steve Mclaren as the rain fell down at Wembley in 2007, all the people who celebrated when Jonny Wilkinson dropped his World Cup-Winning goal in 2003, who celebrated the Ashes wins in 2005 and 2009*... they didn't actually exist! If John Terry returns from South Africa having lifted the World Cup, nobody will celebrate that 'their' country has won, because nobody will feel that 'their' country has won.