We have just done a late-afternoon trip Up West to see the Christmas lights, and it was less than purgatorial thanks to an excellent route from Time Out. If you are visiting London then I would strongly advise you to check out the South Molton Street lights (Bond Street tube, only really good in dusk or dark). Best shop window, by a country mile, was Tiffany's in Old Bond Street with some simple and beautiful fairytale scenes in white paper (that one's equally good in daylight), definitely worth the detour if you're in the West End.