I have added all the UK counties to my database directly, purely for the following reason:
When delivering to regions that are outside of the EU but still part of Great Britain (Jersey & Guernsey) we have to charge 0% VAT, we therefore need a way to allow this in the tax rates. As magento does not yet support Postcode wildcards for this purpose ie. JE* then I have to add the counties and base the tax on that.
Apart from that, the counties are not needed and already they are not a needed part of theUK address. We will be using a postcode population service very soon and generally they only provide street level & postal district info from the postcode, which is all that is needed.