The soverienty of Sealand was origionally under dispute, but since 1987 it has been oficially under the jurestiction of the UK, when the UK government extended it's territorial boundaried to 12 nautical miles from the coast, bringing Sealand within UK borders. Source: Wikipedia:
http://en.wikipedia.org/wiki/Sealand
The Bates family are flat broke and are selling up simply because they have realised that there is no way they can make their soverienty claim stand should they get into legal trouble. They even have a disclaimer in their sales ad:
http://www.inmobiliarianaranja.es/sealand.html
HavenCo tried something similar to this in 2000. They backed out when they realised that there was no way they'd stay out of legal trouble.