As Boss St Bloke says, the Canada Water one is quite convenient. In addition to the tube, a lot of the SE1 buses pass by that way.
Another, not quite SE1 suggestion would be HMV in Ledenhall Market. It's five minutes walk from the North End of London Bridge. It's closed at the weekend, but I often pop in there on the way home from work.
A relatively new game shop has opened on Walworth Road. It seems to sell games, computer memory and films/box sets too. Can't remember what it's called, but it's on same side of road and about 5 minutes walk south of Schwar & Co. jewellers who are at 250 Walworth Road.