Apart from the fact that its building is worth a visit by itself as it's the only purpose-built stable that functioned as a horse hospital within Central London that is still intact, it also offers some of the best underground and avant-garde culture in London. Aside from exhibitions, film screenings and music events it also houses 'The Contemporary Wardrobe Collection' which features vintage street fashion, couture items and accessories to the Film, TV and Fashion industries.
A short walk from Oxford Circus tube station, Kaffeine is easily one of the best coffee houses in London. Whenever I'm working in the area I pop in beforehand to kick start my day with a well-made cappuccino.