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The Imperial War Museum, in association with the publisher J.B. Hayward, has published a series of volumes listing all British & Commonwealth POWs held in Germany and German Occupied Territories.
Volume one contains:
alphabetical nominal registers (including number, rank, P.O.W. number, regiment or corps and camp location details) listing over 107,000 British Army Prisoners of War of all ranks held in Germany and German Occupied Territories.
Volume 2 contains:
Alphabetical nominal registers (including number, rank/rating, P.O.W. number and camp location details) listing over 21,000 Australian, British, Canadian, New Zealand, South African and other naval and air force Prisoners of War of all ranks held in Germany and German Occupied Territories, Merchant Navy personnel are listed with their ship's name. American, Belgian, Czechoslovakian, Dutch, French, Greek, Norwegian, Polish, Yugoslavian and other foreign nationals who served with the Royal Air Force are indicated in that Register.
And volume 3 contains:
Alphabetical nominal registers (including number, rank, P.O.W. number, regiment or corps and camp location details) listing over 41,000 Australian, Canadian, Indian, New Zealand, South African and other Military Prisoners of War of all ranks held in Germany and German Occupied Territories. The Registers also include Palestinian, Cypriot, Mauritian, East African and other locally enlisted personnel.
It's worth noting that a lot of work has been done digitising the records of POWs to facilitate genealogical research. An article in Who Do You Think You Are magazine notes that, in total, between them Germany and Italy captured a total of 142,319 British prisoners (this figure excludes commonwealth service personnel).
Deaths of POWs were reported under the terms of Article 76 of the Geneva Convention (1929). Some of these are held in the collection RG 32 at the UK National Archives. Details about those who died in captivity is also be held by the Commonwealth War Graves Commission and is available to search through their Debt of Honour database.