I'm with Vicky -- Patisserie Valerie is really good and they have several locations in addition to the shop on Old Compton Street: Chelsea, Kensington, Marylebone High Street, Piccadilly, Spitalfields.
and also Vicky, thanks for the tip about the Italian bakery up in Winchmore Hill. I went up there on Saturday to take a look. It's called LaRoccas and felt instantly transported back to Queens (or Brooklyn) as soon as I entered the door. It's both a sit-down cafe and bakery/pastry shop, and offers the usual array of Italian pastries, cookies, gelati, etc. I bought some cannoli and sfogliatelle, not the best I've had to be honest, but would go back when I need a fix.