A favorite spot of mine when I stay in London.
Highly recommend so I'm including a link to their season which is capped off by a Christmas Panto.
http://arts-mail.co.uk/1EXC-4BFU6-447B2KZ065/cr.aspx. ( the link is safe Nigel)
Dick Whittington was funny and festive last year. Great last evening on the town before I flew back to the Land of La.
If you seek something historic, unique, sans tourists I recommend Wilton's Music Hall. The preservation of this venue is heartfelt.
Enjoy.