If you haven't decided yet...
What kind of show do you want to see?
A big West End musical?
A comedy?
A drama?
Something new and trendy?
Something with stars?
There's a plethora of stuff, to fit all tastes. If you want to wing it, and save money, definitely go to the TKTS booth at Leicester Square... They have loads of shows; particularly the ones that have been running for a long time.
*****DO NOT GO TO ANY OTHER PLACE THAT SAYS '1/2 PRICE Tickets' as they are not sponsored by the Society of London Theatre, which is the legit organization... and could charge you lots of extra money as well as selling you illegal/ incorrect tickets.
The tickets you get from the booth will be in the orchestra, but usually off to the side.
OR - you can also go directly to the box office the day before, or as early as you can, and ask what they have available. Many theatres also release the first few rows of tickets a few hours prior.
I have heard amazing things about this particular version of Anything Goes, which closes this next weekend... but again, depends on what kind of show you want to see...