Maybe an obvious choice, but the Barbican is always good. My favourite space in there is the curve gallery, last time I went was for Cory Arcangel's 'Beat the Champ'. I love the architecture, although not many people do. I think it was voted 'London's ugliest building' in 2003.
This uninspiring sounding place is a disused railway line that runs along the roofline from Finsbury Park to Highgate. A great place to excerise and escape.