Sayers do a wonderful Caramel Doughnut - filled with custard and half covered in caramel icing - absolute bliss, but I can't have them anymore as I am diabetic!
Our tescos sells apple doughnuts, toffee doughnuts, lemon curd and custard doughnuts as well as branded (e.g. Cadbury) ones with weird flavours in them.
Jam doughnuts are best - if you're going to eat doughnuts anyway!