One of the difficulties people have in searching for their families in the records of the British Isles is that we forget that as Americans, many of us left because we did not belong to the official religion(s).
Non-conformist records do exist, and should be searched together with any civil or religious records pertaining to the geography of the family's known or suspected origin.
As an example, let us choose Devonshire England, which provides an excellent explanation of various nonconformist groups, including Quaker (Society of Friends), Baptists, Methodists, Huguenots, Roman Catholic, et cetera.
See http://www.devon.gov.uk/index/councildemocracy/people/family_history/family_history_3/nonconformist.htm , and follow the links to repositories in England.
See also http://www.bmdregisters.co.uk/ for The Official Non-Parochial BMDs Service [For records of birth, baptism, marriage, death and burial taken from non parish sources]