Sorry that you had a bad time at your GP today jinglybits. Here are a few comments on some of the posts here.
The triple vaccine is not given because of cost effectiveness (although I'm not sure why that should be thought of as a problem - after all the NHS is paid for by our taxes). It's given to ensure good uptake, as in general people are more likely to have one jab than three.
If you do chose to go down the single vaccines route make sure that you go to somewhere you are really sure is well run. There have been problems around fraud and also vaccine storage (live vaccines have to be stored very carefully at the right temperature).
The mumps vaccine is problematic, as it's not made in very many places anymore due to MMR. Some strains are not very effective.
Depending on where you live there are both mumps and measles outbreaks around at the moment.
Finally immunisation programmes are there primarily to protect the population. It's difficult to tell what child or adult may or may not have a bad illness (measles and mumps can occasionally kill/severly disable) or what unborn baby could get a rubella disability. Some people are more vulnerable and cannot have immunisations for example because they are immunosuppressed. My brothers and sisters and I all had rubella as children and my mother lost a baby as a result, so my views are stronger as a result (also know someone who is deaf as a result of measles).
Of course as a parent it's a very hard decision, and you have to make a risk assessment that you are comfortable with. My mother refused to get us immunised against anything, but then made sure she took us to "chicken pox parties" and socialised with other children with measles/mumps etc!
Hope that you find an option that you are happy with.