Well, let me help you out! As a British ex-pat living in the USA perhaps I can shed some light on who these "famous" people are:
Ep. 3 Ross Kemp: A former regular cast member of BBC soap "Eastenders", he played tough-thug-with a-heart-of-gold Grant Mitchell ('e loved 'is Mum, 'e did!) for many years, then went on to front a TV show about fishing. Hmm.
Ep. 3 Shaun Williamson: Another Eastenders regular, he played failed son of a second-hand car dealer Barry Evans, who (in the show) married Natalie, who had an affair with Ricky, who was married to Samantha Mitchell (Grant's sister). Oh, and Barry's father was married to Ricky's mother, Pat. It's all true!!
Ep. 3 Vinnie Jones: Actually you may have heard of him - he was recently seen in X-Men 3: The Last Stand as Juggernaut. He was also in Lock, Stock and Two Smoking Barrels (debt collecting) and Swordfish (random thug). In the UK however, Jones is best known for playing football (sorry, Soccer...) for Wimbledon and grabbing fellow UK football star Paul Gascoigne by the scrotum during a game (all true and caught on film). I realize it may be confusing for those who associate Wimbledon only with Tennis, but the place is well known for its (now defunct) football team and Wombles (but that is another tale for another day).
Ep. 5 Les Dennis: Les came to the public eye as part of a comedy/impersonations duo with Dustin Gee on Russ Abbott's Mad House (old-fashioned British humor from the eighties, say no more), which led to their own show "The Laughter Show". Their best known skit featured impersonations of Vera Duckworth (Gee) and Mavis Riley (Dennis) from UK soap Coronation Street. The Mavis Riley character was known for being wimpy, downtrodden and indecisive, hence Dennis's (over)use of the phrase, "I don't really know!"
Dennis's more recent role was that of host of Family Fortunes (the UK version of Family Feud) which spawned his famous catchphrase, "If it's up there I'll give you the money myself", when contestants came out with particularly stupid answers. Both of these catchphrases feature in the Extras episode, hence the long and boring explanation.
I hope that shed some light on things. Episode numbers are per HBO screening. Fortunately there are fewer UK celebs in Season One than in Season Two!