The Commonwealth War Graves Commission (CWGC) website has indexed records of over 1.7 million Commonwealth military personnel who died in the world wars. It also contains records pertaining to civilians who died as the result of enemy action.
If you are searching for a relative born between 1880 and 1900 or so and can't find him, it's worth searching the CWGC to see if he was killed in the first World War. Similarly, you can search for relatives who were lost in WW II. The details often give age and sometimes give details of parents and address. This is useful for confirming you have the right person. The results will also tell you his rank, unit or regiment, age, date of death, service number, and information about the cemetery in which he is buried.
The service number and regimental information is also very informative in helping you find more military service records. We'll deal with this in another post.