there are a fair few regulations – when you're adding a 'bedroom' there have to be adequate fire doors / fire escape routes etc and there are some head-room requirements (there has to be a certain amount of clearance from the top step). I think you can get round some of this by not designating it a bedroom but it's not as simple as just boarding it out and adding a Velux if you want to do it in anyway properly. Depended upon the house you may have to start thinking about strengthening ceiling/floor joists, you'll need too look at the construction of the roof itself etc etc.
It'd be worth checking out your local council website planning department for plans / applications from anyone else down your road. We found out a fair bit when we bought our current semi as the opposite end of the terrace had extended and this gave us a real idea of what would be possible. It may be that the council planning department are also worth a phone-call to see what they think. A chat with a decent local builder should give you an idea of costs and similar projects…
There's a plethora of stuff available on the web about this