Hi Matt and Lex,
Well, under the motto "better late than never", here's a brief summary of the day I (finally) spent in London. And an interesting day it was ! Like you suggested, I went to Sukhinders Whisky Exchange (he says hello to you, Lex). A very kind person and his Unit 35 is a real treasury island. In the afternoon I went to Cadenhead's, Milroys, Oddbins, the Royal Mile and the Vintage House.
Result : lots of new bottles for my (drinking) collection at home and... an empty credit card

. The bottle I bought in Cadenhead's will be a very special one to me. It was bottled in the shop while I was there from a cask containing "an Islay single malt of + 10 years" (Coal Ila according to the Cad.-man). A peat bomb !
Short story : While I was looking around in The Vintage House (what a shop !) for some affordable malts, a man came in, who knew the manager very well, and bought two bottles of the Macallan-collection, more than 2.000 pounds each ! Could you believe that the man had never heard of a malt called Port Ellen !?

Huh... Won't prevent me from enjoying my little (cheaper) gems

.
Well, thanks again for your suggestions and my next dram will be to your health !
Ciao,
Xavier