Is it usual for a freehub to have play? I have a new rear wheel (Shimano Ultegra WH-6800) and the freehub has about 1mm-2mm of play in it. When the cassette is installed and the wheel is on the bike I'm getting a lot of wobble which is noisy and affects shifting. The cassette is installed correctly. All the spacers are in place as per the Shimano manual and the lock ring is tight. The wobble is so bad that the chain moves laterally while pedaling which is causing all the noise and slippage.

My old wheel had no play in the freehub at all. I've canvased my friends and one guy who's always had problems with shifting said his freehub had play but everyone else said their freehubs have no play. I've taken the wheel to the LBS and one mechanic said that there shouldn't be any play but another said that there is always some play and it seemed OK to him. There is also conflicting information about this on the wider Internet.

Is it common for a freehub to have 1mm-2mm of play?
No, this sounds like way too much play, even though the lock-ring is tight it  could be tightening up against the freehub and not the cassette. If you can wiggle the sprockets apart a bit, or slide them along the freehub then the cassette is not being held properly by the lockring. Then you just need to add some spacers. Shimano lock-rings should "click" loudly as you tighten them up usually. I install several a week and would be concerned if even the cheap ones had as much play as you mention.