A lot depends on how long ago you signed, how reasonable the garage are and whether you've paid a deposit. Such charges are usually enforceable but if you signed yesterday and haven't paid a deposit, you are likely to be able to walk away without the penalty as long as you phone them up in the morning and explain the situation (they wont be happy if you tell them that they are too expensive though). If you signed a couple of weeks ago and have paid a £1k+ deposit, then you are going to be charged for cancelling.

Remember that the garage will have incurred some costs if they have made arrangements for the car.

I have signed an order for a lease car but not yet signed the contract or taken delivery.

The order form says I will be charged £850 +VAT agency fee if I cancel the order.

I have seen a much cheaper deal

Is the penalty enforceable?