Jump on the N1, or have a brisk walk, and go to Bar Italia in Soho, is my entirely unhelpful advice. It's horribly overpriced, but amongst the best eat-in cakes in London, and the hot chocolate is amazing. Open all night.
on the row of shops next to the royal festival hall, south bank. Coffee (and hot chocolate) very good along with loads of breads, cakes etc. However the chocolate bomb, is superb. Shop started in brussels which is when i first visited, then found out one had opened here and have been gradually putting on weight since.
One phenomenon that doesn't seem to have kicked in here yet is the pudding restaurant. I've been to a couple in Chicago and the formula really works. Does anyone know of a specialist pudding restaurant in London? Patisseries don't count, good though they may be, and in any case they tend not to stay open late.