Went to London for a few days about a month ago and was focused on pretty much the same - finding some retro video game related bargains.
As was already mentioned the CEX places are worth a visit - there is pretty much one on every high street.
I also by chance stumbled upon this place in Hammersmith:
http://www.xelectrical.com/
It looks like a music / hifi shop but there is a back room with good stuff in it:
Got the MD Arcade Power Stick from that shop.
As for other places: i) gumtree / craiglist and arrange a hand to hand and ii) local car boot sales
As for car boot sales you will just have to do some research on what is going on in you area around the time of your visit. I went to a pretty large one on Staines Road in Hounslow - pick up a Wii with 2 controllers + extended motion sensors and 10 games (admittedly crappy ones but whatever) after some haggling for 10 pounds (initial asking price 15 pounds).
But yeah - its seems that most retro gaming stuff in now online and with that it is hard to find a real bargain since its easy for the seller to check the market price of whatever they are selling.