vinyl shopping....
If you want vinyl, I would seriously reccommend going to Chocci's Chewns in Covent Garden. Fantastic place and Chocci always goes out of his way to get you the best new choons in trance and other more weird stuff.
However, for hard house and the harder things in dance, I'd say you have to go to Kinetec Records in Little Portland St. Nearest tube is Oxford St and it is very much worth a visit. I tend not to go there that much these days because every time I visit, I end up losing two or more hours there and spending about 130 quid on records. Oh, and I fell asleep on their sofa once too.
DVDs etc... beware! CDs and DVDs are expensive in the UK. I'd be more inclined to get them off the net from Amazon.co.uk or from people in the US (Assuming that you have a way in and your player takes Region 1).
Also, there is a very nice little Swiss eatery round the corner from Choccies (Wardour St. I think) that is worth a visit and if you are really stuck for a place to stay, a Travel Inn will only cost you about 40 notes a night. They are comfy and they are clean and that is usually enough.
Wookie