Xenical - prescription only - supposed to make you lose an extra 2 lb for every 2 lbs you lose on a normal calories controlled diet.
Alli - over the counter at the chemist - says you lose an extra lb for every 2 lb you lose.
Since a prescription is cheaper than what they charge for Alli and Xenical is stronger I think it is the better option so long as you can get your GP to prescribe it.
I have used Xenical and it works very well but you do need to stick to the diet and avoid very fatty things or the side-effects are rather unpleasant. When I was over 20 stone I was dieting on about 1600 kcals a day and losing about 4 lb a week with Xenical.
There is a Xenical forum (and an Alli sub-forum) under Other Diet Options on this site. I would go and read some of the threads there as that will probably answer all your questions.