Adobe CS5 Colour Profile query…

Should I choose the same Colour Profile in Photoshop, Illustrator and Indesign for CMYK printing? Currently they are all different.

Would 'Working CMYK - U.S. Web coated (SWOP) 2' be a good generic choice for all or is that for U.S. only (I'm in U.K.)?

Talk to your printing company and see what profile they require.
If it's in-house, talk to the guys that do the printing.