if it was just for me - a youngish manchego, a good hunk of stilton and some cheddar, whatever looks good at the cheesemongers i know sometimes needs must, but it's much better to buy the cheese off the block rather than a wedge that's been sweated in plastic for days (this is particularly true for blue cheeses, i find). if you don't have a cheesemonger nearby, marks and sparks cheeses seem to survive the packaging process better than some of the other supermarkets, and while you were there you could buy a bit of cornish cruncher, which is pretty tasty.
if i had to share it with other people, i'd add one of those nasty cabbagey soft cheeses, just to be polite.
yes to oatcakes. we have something called ditty's here (ireland) which might be british for all i know - very nice, anyhow.
and i'd recommend you something irish, but i don't like the soggy smelly ones, and it's not the season for cratloe hills, (really delicious hard sheep's cheese from clare, but not really a winter one), and even though you'd have to try hard to find a nicer blue than cashel blue, stilton does seem more seasonal, somehow..