In reply to Wonrek:
As Nick B said, Covent Garden is your best bet - London is great for like-minded shops congregating together.
Snow and Rock is up at the top end, above Long Acre and Ellis Brigham is down near the Strand. There are a few others like TNF etc but its been a while since I was there.
I was surprisingly impressed by the concession at the top of Lilywhites (Picadilly Circus) a few years back for running gear. I think it was Field and Trek or someone.
If you want a dedicated running shop - there's a Sweatshop on Rathbone place, and Runners Need/Cycle Surgery/Cotswold outdoor either up near Kings Cross, on Pentonville Road heading towards Angel, or down near Spitalfield market, depending on where you're based.
Bear in a mind my information is a couple of years out of date so double check before walking off.