I'd recommend taking a look at the UK Government Data Standard for postcodes [link now dead; archive of XML, see Wikipedia for discussion]. There is a brief description about the data and the attached xml schema provides a regular expression. It may not be exactly what you want but would be a good starting point. The RegEx differs from the XML slightly, as a P character in third position in format A9A 9AA is allowed by the definition given.
The RegEx supplied by the UK Government was:
([Gg][Ii][Rr] 0[Aa]{2})|((([A-Za-z][0-9]{1,2})|(([A-Za-z][A-Ha-hJ-Yj-y][0-9]{1,2})|(([A-Za-z][0-9][A-Za-z])|([A-Za-z][A-Ha-hJ-Yj-y][0-9][A-Za-z]?))))s?[0-9][A-Za-z]{2})
As pointed out on the Wikipedia discussion, this will allow some non-real postcodes (e.g. those starting AA, ZY) and they do provide a more rigorous test that you could try.
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