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....