You have to go to Hamley's Toy Store, and walk down the main drag (Regents street, I think... trying to remember...). Every year, they pick a different theme, and light it up like crazy. It's great!
The West End is also wonderful that time of year. Search the ticket sites for unique and wonderful shows that might be out there for a short run!
See if you can find a "Pantomime", or "Panto". It's this wonderful British traditional Christmas play, and the audience gets to interact. "He's behind you!" quite fun. It's also tradition for at least a few of the characters (male or female) to be played by actors of the opposite sex, which can add to the fun.
Besides "shows" and "Panto's", check out the concert schedule - in London, around the holidays, you'll find some amazing concerts with everything from classical to pop, performed by some very big names.
Last option, even if you're not a church goer, being able to see a holiday style mass in one of the main British Cathedrals is an event. You can't understate how good the choirs are, with the boy altos and sopranos (Westminster and Cambridge in particular), and the cathedral ambiance is hard to beat.
Hope that all helps! :) I love London at the Holidays. Dress warm! :)