I used to live in London, and my prime recommendation for anyone who enjoys this game is the War Rooms, as suggested in the post above. It is right around the corner from Big Ben and Westminster Abbey. Churchill's underground HQ during the Blitz was boarded up after the war and it's like a time capsule -- the maps are still on the wall with little holes in them from the pushpins they used to monitor troop and naval movements. Everything is authentic. It is truly an incredible experience, and surprisingly not as well known as it should be.
If you have time to venture outside of London for a day, I strongly vouch for the earlier suggestion of Bletchley Park. It is halfway to Oxford by train, about an hour outside London. The lady who gave my tour was an original operator of the Enigma decoding computer, no joke. She had incredible stories to tell about how she was selected and what life was like at the top secret installation. I'm sorry to say, these people won't be around forever to tell their stories, so it's an opportunity not to be missed.
On a different note, if you like Shakespeare a trip to the reconstructed Globe Theater and the accompanying museum is an enjoyable few hours. In fact, they regularly give plays there so it's worth checking the schedule.
The London History Museum, just north of St. Pauls, is surprisingly good (lots of excellent stuff on the Roman era) and FREE.
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