Born in Llanelli in 1953, the son of a Royal Navy submariner, Allen spent his early years between Swansea, Malta and Gosport. When his father was posted to Singapore, he attended Brentwood boarding school in Essex until he was expelled aged 13. After a spell in borstal, he tried stand-up comedy and appeared in several Comic Strip Presents films in the 1980s, and eventually in Danny Boyle’s Shallow Grave in 1994.