Virgin Active is excellent - they have 3 locations within walking distance of W1W and they have the best selection of classes. You can rent a locker for the month so you don't have to carry your shoes/ toiletries with you all the time. They also provide towels and have nice changing facilities with good hair dryers, etc.
When looking at gyms before you join there are a couple of things you need to look at before the cost. 1 the intensity levels of the training done by people there the harder they work the easier it will be for you to raise the intensity of your own training, dont go to gyms that play soft relaxing music as this will lower your intensity when you train. Also you dont want tv's every where they are a useless distraction. Also they need to provide you with the fscilities that you need to train toward your goals. Although everyone has a budjet to work within dont let this dictate the gym you join, you only get what you pay for. In general i find that you are better off going to independant gyms. As they will be run by people that really know what they are on about and not staffed by clueless kids.
my advice is get down to Barry O'Connells Stae of Mind Fitness gym, mind you it will help if you are serious about your training as Barry is a former Royal Marine and THE ONLY level 1 PTI in London. Great instruction, tremendous enthusiasm and knowledge and guaranteed to get you great results at a very reasonable price