Yes, BIG difference whether it's Shepherd's Bush or Holland Park... though both will be very popular and more expensive areas once the big mall opens at White City, let alone other property developments.
Holland Park is right at the edge of Kensington/Chelsea borough, and you can actually feel the difference coming out of Shepherd's Bush and crossing over to Holland Road.
One of my friends just bought a lovely flat on Holland Road (not a 'basement' flat, but a 'garden' flat

), but you can hardly hear the road, and of course his garden/patio backs up to all the neighbors, which makes for a lovely view... and across the way, he can look into John Cleese's five story townhouse

.
Very leafy, green, residential, with a lot of cute little shops around, plus a mall type place right at Shepherd's Bush tube, and then there's THE MALL that's coming soon. Property will definitely be worth a LOT more around that area soon.
The London for Londoners is a great book - also check out upmystreet.com, which gives lots of very detailed info, including a message board where people can comment.