http://blog.national-lottery.co.uk/meet-man-pays-money/#.VcC... - A blog by the guy who pays out the money. It's tax free.
I believe the same is true of gambling winnings (The reasoning being that you aren't given tax refunds when you lose, so it's unfair to tax when you win)
Prizes that you haven't payed for entry might be different.
Which becomes really interesting when you consider professional poker players.