PIGLETJOHN!
We are in the presence of a Mumsnet legend!
The plant you're talking about - Cordyline australis - is not a true palm but instead a native of New Zealand, which helps to explain its ability to survive some frost.
However, it's not proof against the worst winters, especially when it's getting established. So if you're in a relatively mild area or a big city with a warm microclimate, you can risk shoving it in the soil and forgetting about it. Hence their proliferation in Cornwall! If, however, you are in the northern wastes as I am, you will almost certainly need to think about giving it a bit of protection in the worst weather. One way of doing this is to grow it in a pot (which can be bubble wrapped and wheeled to safety in a sheltered place). However, bear in mind that this will tend to limit the height of the plant and will involve you in buying progressively bigger pots, which can be an expensive habit.
Alternatively, you could put it in the soil, but then you will need to protect it in situ, and this means that it will look pretty rotten for a few months a year. You're basically trying to avoid two things: wind damage to those strappy leaves and water penetration which you can do by tying them up and protecting the growing point from rot. You might need to wrap the trunk with fleece too. A good depth of mulch on the soil also helps roots.
You can buy small plants very inexpensively all over the place - a 5 litre one will set you back £10-15. Larger ones that are already growing a trunk tend to be considerably more expensive: you can pay hundreds, and then it is a BIG risk losing them in the weather.
I am tempted to suggest that unless you're in central London or the South West, there are other palms that are very much hardier that may give you a similar effect without the hassle. Many of them are every bit as big and beautiful as the cordyline. There is a list on this page which also gives their hardiness (some of these really are tough buggers):
www.rhs.org.uk/advice/profile?PID=609