I just returned from four days in London, where the pound sterling is roughly 2 to the dollar -- ouch. I stayed in Belgravia, just south of Knightsbridge.
Most visitors to London associate Knightsbridge with Harrods department store, but Knightsbridge is also home to another one of London's tonier department stores: Harvey Nichols. It has a floor with a wonderful food emporium, a bakery, a butcher stand, a coffee bar and a sushi bar. I generally hit the sushi bar at least once when I'm in London. Just browsing the food emporium is also a fun diversion.
Knightsbridge gets crowded with tourists and shoppers so if you're looking for less crowded shops, bakeries and cafes, consider strolling about 15 minutes S.E. of Brompton Road (where Harrod's is) along Elizabeth Street, just on the other side of Eaton Square. There's a great chocolate shop called Chocolate Society -- it has excellent truffles and canisters of high-quality drinking chocolate. Right before it, on the same side of Elizabeth St., is an excellent pastry and deli shop called Baker & Spice.
Another block or so down Elizabeth (in the direction of Victoria bus station) is the Ebury Wine Bar. I didn't eat there, but the menu looked interesting.