Michael Powell's 'Peeping Tom' has several London based locations.
The first few scenes are filmed around Rathbone Place, off Oxford Street. The film opens with Mark Lewis (Carl Boehm) and a prositute at Newman Passage at the Rathbone Street entrance. The doorway can be seen today.
The newsagent's Mark visits to photograph model's is at the corner of Percy Street and Rathbone Place, suprisingly there is a lot less signage than there was over thirty years ago when the film was shot.
IMDB entry for 'Peeping Tom', link.
Map of Rathbone Place area, link.