This is an extremely broad question--there was a lot going on in Britain at the time! This isn't my specialty, but I think I have enough knowledge to give you a broad overview.

First things first: you can't talk about England in this period (by which I mean shortly before the Roman invasion of 43 AD up to them leaving in the early 400s). There was no such thing as England (or the English) until the arrival of the Anglo-Saxons after the Romans left. They were not formed into one state and instead made up many smaller tribes which varied greatly in culture and language. The land was known to the Greeks and Romans as Britain (Britannia) and the inhabitants as Britons; they would not have called themselves that, and the tribe was probably the closest thing to what we might consider a 'nationality', although modern concepts of nationality really cannot be applied to that time. We really have very little idea in what way these people saw themselves. They had no writing (apart from perhaps some Greek letters brought by traders) but were in most other respects quite advanced, with iron-working, the capability to undertake major building projects like hill-forts, and governmental, social and legal structures every bit as advanced as those of the Romans. Transfer of goods and people between Britain and the Roman Empire doubtless took place on a large scale even before the invasion. We don't actually have a great deal of specific knowledge about the Britons, because, largely due to the lack of writing, little has been recorded. I have personally have had some experience digging on a site linked to the Durotriges, a tribe who lived in what is now south-central England. For some reason, they found it necessary to bury various animals (cows, sheep, horses and dogs) in a ritualistic fashion at the bottom of grain storage pits. This isn't something we've seen elsewhere, which suggests belief systems varied between tribes. Aside from assuming that this had some religious basis, we have no idea why they did this. We know very little, but even though we are reliant for what little we know on only tiny scraps of evidence, it is clear that society in in ancient Britain was extremely complex.

We can make certain assumptions. We can observe large hill-forts which, although there is no certainty over whether they were permanent settlements, the seats of chieftains or simply strongholds in times of war, must have been important to justify the effort involved in building them. My personal favourite, and one of the most impressive, is Maiden Castle (also in Dorset), but the things are incredibly common! Items which were probably ritually deposited in the Thames, like the Battersea Shield and the Waterloo Helmet indicate that there was a great amount of cultural influence from the continent, that the Britons were skilled craftsmen, but we can only speculate at why exactly it was considered useful to throw these things in rivers. The Waterloo Helmet is the only Iron Age helmet from southern England which we have found, and it's almost certainly ceremonial, so it doesn't really tell us much at all. What we can tell is that there was nothing savage, uncivilised or uncomplicated about the ancient Britons.

It's almost as unclear what effect the Roman occupation had on the Britons. We have abundant evidence that Britain was a well-developed province; hundreds of Roman villas, temples, forts, amphitheatres, and bath-houses have been discovered. All were very common, and some were very elaborate indeed. Fishbourne is one example of the complexities of Roman rule; it appears to have been the home of a local chieftain who served the Romans as a client-king. Roman control was neither absolute nor always oppressive. In the very fluid structure of religion at the time, the Romans took local gods for their own--[the local goddess Sulis was identified with the Roman goddess Minerva](http://en.wikipedia.org/wiki/Roman_Baths_(Bath)--and introduced gods from elsewhere--the military was particularly fond of Mithras, a god originally from Persia. Much of the Roman influence seems to have centred on urban centres and dispersed estates in the country and it is quite possible that aside from some long-term cultural influences--such as the shift from Celtic round houses to rectangular Roman-style houses--life in many villages went on practically unchanged. But this is an entire academic subject in its own right, and one which I'm really not qualified to comment.

I hope this has helped, anyway.

To answer part of your question, "England as we know it" starts appearing in the tenth century when the descendants of Alfred the Great of Wessex start expanding the Saxon kingdom of Wessex and the Anglian kingdom of Mercia into the Danelaw, the North-East of Britain which had been captured by the Vikings. Alfred's son Edward united Mercia and Wessex and his son Æthelred (925-939) is considered the first king of England. Æthelred's son Eadred put the "finishing touches" to England as we would recognise it today by capturing the Danish-Northumbrian kingdom based around York in 945.