Officially? None of them do. Only the UK has an official anthem.

However, many Scottish, Welsh and N.Irish people felt that, as minority countries, they weren't as well represented by the National Anthem (especially as in N.Ireland, an anthem about the royal family was very contraversial). Not to mention of course... what do you sing at a Wales vs Scotland match if they both have the same anthem?

So other songs began to be used as unofficial anthems. In Wales, this was pretty simple; Land of our Fathers was fairly uncontraversial. However, Scotland hasn't quite decided (should it be Scotland the Brave or Flower of Scotland?) so tend to alternate. While in N.Ireland it has been extremely contraversial, so they tend to use the wordless Londenderry Air (better known as the tune of "Danny Boy"); as it doesn't really have lyrics, it's not contraversial.

But the English were never really bothered by using God Save the Queen, so never developed their own unofficial anthem. The English football team does sometimes use Land of Hope and Glory.