I like Myhotel Chelsea. The Pelham is also very good. A little closer to Sloane Square is the Sloane Hotel; small, very English (Draycott Place). The Sydney House on Sydney Street is nice too. And The Franklin, Egerton Gardens, is great. I've stayed there several times.
Good shopping advice here! Also; Pont Street, just off Sloane Street, has Anya Hindmarch, Agent Provocateur (great lingerie), Elpeth Gibson and more.
On the King's Road, close to Sloane Square, the Duke of Yorks is a recently opened shopping area. Some nice shoe shops there.
Whistles is a great shop, with different labels. There are several in London, one in Brompton Cross and in the Duke of Yorks.
Harvey Nichols is fab, but Selfridges is very good too, if you happen to be in the Oxford Street area (South Molton Street, as mentioned by MK is near there too).
If you're in Bond Street, have lunch at Nicole's, in the Nicole Farhi shop. Always good, and if you sit at the bar you won't need to reserve.
Floriana in Beauchamp Place is also a good restaurant.

Selfridges is an awful store, their buyers have no idea about what pieces (in what sizes) should be selected from upcoming collections. The staff on the floor are mainly students with little interest in in the product, they stand around talking for most of the day. The only good thing about the place is that they make no fuss with returns. I do shop their occasionally, when I have to be in the area, and have taken virtually everything bought there back!

This is an absolutely FAB thread...all the class wars and sniping that faded glory seems to engender and that the Brits are so well-known for and you don't even have to fly all the way over to enjoy them!!!
WOW..what a deal!

Sorry MK2 but I just had to post that I have just seen Claridge's on Lastminute.com albeit at £246 per night. Seems to be right up there with bargain stays like the Schrager hotels.

david - well my dear, there goes the neighborhood (or should I say neighbourhood?)

Well that high prices still keeps the rif-raff out, not cheap at all!