Yes - it's not necessarily cheaper to connect in America. When I flew to Minnesota/St. Paul airport, I was in the same situation (no direct flights from the UK). It turned out that there were three different routes to go, i.e. via Rekjavik with IcelandAir/FinAir, via Amsterdam with KLM or via Chicago with American Airlines. It turned out that flying via Chicago was the most expensive (by far). KLM was cheaper and IcelandAir was a lot cheaper still.
It varies depending on where you're flying from, where you're flying to, who you're flying with, the dates you're going etc. etc. so just search places like STAtravel.co.uk and expedia.co.uk (and don't forget to try real travel agents) and choose the cheapest. But don't be surprised if the cheapest isn't the one with a connection in America!