There are several theories about what happened to Rudolph Hess, ranging from the obscure to the absurd:
Hess went mad and flew to England without any orders to do so in an insane belief he could stop the war (official story)
Hess was lured to England by British Intelligence, thinking that he was on a peace mission.
In a plot by British intelligence, and a high-ranking German officer, Hess was assassinated and and replaced by a double, who then flew to Scotland. It was planned that Hitler would then be assassinated and the double could assume command and negotiate peace from England, but Hitler survived.
Hess flew to Scotland under orders from Hitler, to find the holy grail, which was believed to have been hidden by the Knights Templar in a nearby Scottish chapel.
Hess was killed because he possesed the Nazi Polar File, which detailled a secret Nazi space base in the Antarctic.