Shepherds Bush Empire
The top venue in West London and big enough to attract some proper talent on a regular basis: Death In Vegas, Primal Scream, Marlene Shaw, Air, Atomic Kitten… There also seems also a certain amount of kudos for an up and coming band to announce a date here - it shows they've made it (congratulations this month to Hefner and Zero 7).
The venue itself is suitably theatrical, with a standing area in the stalls and two seated balcony levels. Anyone who suffers even slightly from vertigo should avoid the top tear though, as it really is very high and very steep (but at least you'll get a bird's eye view).

Shepherds Bush Green W12
020 7771 2000
Nearest Tube: Shepherds Bush (H & City / Central both OK)
Tickets available for face value to personal callers paying by cash at the venue box office.