I've been the last week walking through Winter Wonderland, the biggest and most festive place in London (located in Hyde Park). It's a place to go while you're on winter holiday in London or if you're living there, it's worth to visit (just the prices are ridiculous expensive! - you'll pay about 7 pounds for a punch/4 for hot chocolate!):
Hyde Park's Winter Wonderland is more like a theme park NOT like a comfy traditional christmas market (for that it's better to go to Stratford or Kingston).
What's your favourite christmas market in London or all over the world?!;)