Shepherd Market
Shepherd Market is a small precinct in Mayfair, in the West End of London. Its two business-lined squares are between Piccadilly and Curzon Street; it has a village-like atmosphere. It was built up between 1735 and 1746 by Edward Shepherd on the open ground then used for the annual fair from which Mayfair derives its name. In the 1920s, it hosted leading writers and artists such as Anthony Powell, Michael Arlen and Sophie Fedorovitch. It was associated with upmarket prostitutes until at least the 1980s. Jeffrey Archer met Monica Coghlan there in the 1980s.

Shepherd Market is a small precinct in Mayfair, in the West End of London. Its two business-lined squares are between Piccadilly and Curzon Street; it has a village-like atmosphere. It was built up between 1735 and 1746 by Edward Shepherd on the open ground then used for the annual fair from which Mayfair derives its name. In the 1920s, it hosted leading writers and artists such as Anthony Powell, Michael Arlen and Sophie Fedorovitch. It was associated with upmarket prostitutes until at least the 1980s. Jeffrey Archer met Monica Coghlan there in the 1980s.
Check the official site before travelling; hours and prices can change.
More markets

Borough Market
London's defining food market — go early Saturday, eat your way around the perimeter.

Columbia Road Flower Market
Sunday-only flower market in the East End — 8 a.m. for choice, 2 p.m. for prices.

Maltby Street Market
Borough's smaller, scruffier sibling — railway arches, weekend only.
Source: wiki-list