The Drawing Room in Cos Cob is really lovely. They have all sorts of scones w/cream/yummy cakes/etc. It is also attached to a retail shop w/divine home furnishings to look at after your tea.
Have not been yet but have been meaning to check out: Soul of the World Tea room, on Brewster street in the Black Rock section of Fairfield/Bridgeport. Please do post your experience if you go - would love to hear about it.