Tetote is one of the best bakeries in the London area. (see http://chowhound.chow.com/topics/672200)
If you prefer hot out of the oven stuff, be sure to check out their cooling rack behind the counter. Ask nicely -- they're willing and happy to sell the stuff before it cools. Had an awesome melon pan that was still very warm and thus exceedingly crisp on the sugar coated surface over the wispy bread.