You just need something with you name and address. Bank statements, council tax, driver license (it doesn't even need to be a full one). It doesn't need to be a utility bill, it just often is one.

If you do not have a permanent address (I didn't for many years). You just need someone with a permanent address where these things can go e.g. friend or family member or you can pay a small amount for a letter box with a key (which is what I did).