Selfridges is in central london, not sure there is anything else in terms of a supermarket. There is nothing as widespread as the OU on products in London, although you will find some stuff with a KLBD on it, but its pretty limited. KLBD is the London Beth Din Hashgacha. You may want to go to their website for more information.
Ruebens in central london is good, the restaurant at Bevis marks is very good, but I dont think they are open really late and they are more in the business district.
Hendon and Golders green are full of restaurants as is Edgware which is a little further north. unless you are staying in those areas, it is a bit of a schlep from central london. I have not eaten out there in a while, but bring money as its not cheap.
I think Deli West One are opening a larger branch soon on the same street.
The John Lewis food hall on the basement (Oxford St) sells KLBD challah and rye bread - you have to go to the bread section in the far left corner. The other corner has a small selection of kosher dry goods.
Selfridges has a good selection of kosher - Adafina sandwiches and deli counter plus a dry goods shelf too.
Many products are supervised by the KLBD but don't necessarily have a visible hechsher - you need to check their website.
DD's sandwiches quite widely available in Central London - check their website.
Otherwise Rubens and Bevis Marks (City) best bets for Central London although only BM is open Motzi Shabbat in the winter.
Otherwise get tube up to GG/Hendon/Edgware.