Hi Sami,
The two most useful sites for research in the Bath area are
BathBMD -
http://www.bathbmd.org.uk/index.phpand FreeREG -
http://www.freereg.org.uk/cgi/Search.plBathBMD is a complete index to BMD registrations in the Bath and North-East Somerset area, 1837 to recent. It has the advantage over FreeBMD and other indexes that it gives the mother's maiden name for births, the exact partner for marriages (not just a choice of two or four) and the age at death. Paul Gay's death is recorded as
Bath Death indexes for the years: 1841
Surname Forename(s) Age Sub-District Registers At Reference
GAY Paul 50 Abbey Bath ABB/4/031
FreeREG is an index to parish registers. It covers the whole country but is much better for some counties than others. Somerset is one of the best, which is fortunate as it is one of the worst covered by the IGI. If you enter Paul Gay, choose Somerset and Baptisms and leave the date blank you get all the entries where the child or the father was called Paul. Switching to marriages gives one each for Paul and a son. FreeREG doesn't have complete coverage of the Bath area, but it looks likely that these are all for the right family. (Although Gay is quite a common surname in the area.)
You can also get access to transcriptions of the local parish registers by joining the various Somerset Hundreds Yahoo groups. Bath comes under the Bath Forum group
http://uk.groups.yahoo.com/group/bathforumhundred/Englishcombe is in the Wellow Hundred
http://uk.groups.yahoo.com/group/wellow/These groups are closely but informally linked to the FreeREG project, but occasionally one will cover a register that the other doesn't.
HTH
David