I just thought I would post and say that my fiance and I have just had our fiance visa approved by the UK embassy.
My fiance is a Russian citizen. It has been a pretty stressful couple of weeks not only gathering all of the required information but waiting for the approval which actually came through quicker than what we expected.... just over a week.
Here are is a list of documents which we submitted. I hope this helps someone:
Certified (by local solicitor - NOT a Notary Public) copy of my UK passport
Solicitors business card and £5.00 receipt for certifying the copy
Copy of Drivers license
Copy of Criminal Record disclosure (None

6 months original bank statements of my current account (the bank charged £10.00 for these!)
6 months original pay slips
6 months printed copies of my online banking savings account
Original mortgage letter and statement
Original utility bill
Original house insurance statement
Various photographs of me and my fiance on various holidays, and my and my fiance with members of my family
Copies of online chat
Copies of phone records showing my huge phone bills calling and texting her
Flight tickets and printed Email itinerary from various trips to see her and her to see me
A cover letter explaining how we met, how long we have known each other, the number of visits we have had, where we will be living and various other general statements about our past and future relationship and plans for marriage.
This list is probably overkill however I couldn't risk it not getting approved, due to the cost of the visa but also the timing of it. Incidentally, my local notary public wanted to charge me £75.00 for certifying my passport! My local solicitor certified it for £5.00.
Now the hard part... living together and marriage

Good luck to anyone else who is applying for a fiance visa and thank you to Wanderer and the others who have helped me in the past.
-maxnn
