Pricey - but excellent (and very good for pairing food with wines)
http://www.roussillon.co.uk/ (near Sloane Square tube)
Isn't exclusively vegetarian but offers some exquisite vegetarian menus
(Lunch here is best for value - 3 courses and a half bottle of wine for 35GBP)

Near me there is
http://www.manna-veg.com/
(just North of Camden) not quite as refined (or expensive) as Roussillon but certainly recommended


Not nearly as good, but a decently priced, decent vegetarian option in Soho is
http://www.mildreds.co.uk/


But for one of London's real hidden gems, have lunch here:
http://www.museumgardenhistory.org/
(near Westminster, on the other side of the river - or walk there along the Thames from Waterloo)