A piece of land that has planning permission for a dwelling costs almost as much as the land with the structure already built.
Land without any planning permission is dirt cheap as there is no guarantee you will ever get permission, it can sometimes work in your favour if there is a large plot that has been carved up into smaller plots for which the group then applies for planning permission together, again this can be a lengthy process.
Been a while since I looked into it but checkout these sites :-
https://www.homebuilding.co.uk
http://www.plotfinder.net
The home building show at the NEC is coming up in March :-
http://national.homebuildingshow.co.uk
EDIT: just to add, mortgages, you can get trickle release mortgages / loans that assist with the build