Ive seen some cosplayers use this urethane foam in cosplays. What is it?? Im after the thin sheets, is it another word for craft foam or is it stiffer and can it be brought in the UK?
Im a bit clueless about it.

I believe Urethane Foam is actually the expanding type you get in a spray can which is rather ridgid and snaps easily. You can get two part foaming liquids in other densities but they're rather expensive.

If you're looking for sheets of foam for a project most people use craft foam, which is a cheap low density form of EVA foam. You can buy it from lots of craft places, or Coscraft do EVA foam sheets:

http://www.coscraft.co.uk/en/plastics-and-foam/77-eva-craft-foam-medium-3mm-black.html

This is the stuff I used as a base to make my iron man. It's rather firm which is what I wanted, but they do it in different densities.

Urethane foam is just a shortened version of polyurethane foam

the same foam as used in upholstery and bedding and also specialist foams made from the same process

By far the cheapest way to get it is to look for a local foam converter they will have lots of offcuts of foam.