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Primarily, in Eastern England and Western Scotland. In particular, what you might be looking for is the Danelaw. Technically, it refers to the parts of England (roughly one-third) where Scandinavian (Danish) laws applied. In geographic terms, this is a huge swathe of Northern and Eastern England conquered by invading Vikings during the 9th century.
England had been raided by intermittent waves of Danes since about 800. The attacks peaked peaked with the Great Heathen Army of 865. First landing in East Anglia, the vikings invaded all four Anglo-Saxon kingdoms as they moved up and down Eastern England over the next decade. York was captured in 866 and became the Kingdom of Jorvik.
Thirteen years later during an invasion of the Kingdom of Wessex, the viking army was finally defeated by Alfred the Great. A peace was concluded in the aftermath. The Scandinavians kept control of much of what they had captured in Eastern and Northern England, and settled down in relative peace.
The Anglo-Saxons would gradually reconquer England during the early tenth century. Jorvik was annexed into the Kingdom of England by 954.
Of course, the Vikings had been ravaging all of the British Isles during this period, not just England. Around roughly the same time as the Danelaw's formation, other Vikings conquered Western Scotland and the islands of the North Channel, including the Isle of Man. Here they established the Kingdom of Mann and the Isles, which would persist until 1266.
In addition, the Vikings also captured the islands of Orkney and Shetland during the 9th century. These islands were ruled directly by the Kings of Norway, and was only taken by the Kingdom of Scotland until much later.
As a side note, a significant part of Ireland was also conquered and ruled by Vikings, including the comparatively long-lived Kingdom of Dublin. This isn't within the bounds of the modern United Kingdom, though.