Oxford Street, Regent Street and Carnaby Street for the lights. Expect it to be busy but if you can go during the week it may be a bit more bearable.
Selfridges (on Oxford St) always used to have amazing window displays but some years they were a bit weird but maybe that's because I prefer traditional Christmas decs?!
Picadilly circus
Somerset House
I'd suggest to walk everywhere rather than take transport if you can as you're more likely to see random little side streets, shops and attractions that you may miss if you do it all on the underground
definitely wear comfy shoes!
Winter Wonderland at Hyde Park is good to wander through.