You absolutely must go to Hamleys if you have children or the Christmas magic will not be complete (even if you don’t buy anything, the windows are amazing).
Harrods and especially Fortnum & Mason have magnificent window displays. Fortnum & Mason actually had an Advent calendar on its front.
Another very festive district, Covent Garden literally immerses you in the magic of Christmas. Don’t hesitate to sit on a terrace and have a hot drink. We just love the atmosphere there.