Marks and Spencers for every day and also some of their Autograph range is very, very hot so that figures in my 'special occasion' underwear too.
Lovehoney website have some fun stuff if you're thinking more sort of 'lingerie' as opposed to just knickers and bras. Then for stockings, Stockingsdirect or StockingsHQ websites are good.
Agent Provocateur or Rigby and Peller would be my shops of choice if I had a lottery win though!
Clearly I should check out Peacocks though... Primark I don't find really good for my size.