Heaven, Charing Cross
Brilliantly named venue considering the general hellishness of catching a Connex train from the station above, Heaven is indeed a place on earth; under the arches of Charing Cross Station to be precise.
More well known for hosting some of London's most full-on gay club nights, Heaven is also booked for occassional gigs by bands wanting to do things a bit differently, and wanting to put on a really mental, energetic show (ie: The Strokes / The Charlatans). When the Lo-Fidelity Allstars played here last year you could probably feel the bass vibrations up on Platform 6 it was so loud.
The only problem in Heaven is the pink money prices at the bar - £3.30 for a lukewarm can of Stella.

The Arches, Craven Street WC2
020 7930 2020
Nearest Tube/Rail: Charing Cross