Pick up a copy of the Record Collector magazine . It is published in the UK and has a very extensive listing of record shops. Barnes & Noble is where I buy my copy.
Berwick St, formerly the most famous in the land for music shops, very close to Oxford Circus : Reckless/Revival Records and Sister Records (mentioned earlier?) are the only survivors.
Although I'm not local, I was there scanning the shelves only a few weeks ago.... :)
Also visited a place called "Rat Records" in Camberwell (on the Southern side of the Thames 1 mile from the Oval Tube station)
Hope this helps....
old request but updated answer Music and Record exchange in Notting Hill Gate and Rough Trade Records in Notting Hill.
All of the old favorites seem picked over or mostly new print and new releases.
I was at M&R exchange last night and was able to find some goodies. Their rating system is accurate too.