This isn’t necessarily a “must do”, but it is quite a curiosity. The London Transport Museum does Hidden London walking tours of the lost parts of underground stations. We’ve done two of them: Baker Street (yesterday, as it happens), which involves a series of diversions from the public parts of the station through locked doors and into disused, long closed sections of the oldest of the underground stations; and Aldwych Station, a long closed but basically intact end-of-the-line station. It’s one of those things where, it it’s your kind of thing, you’ll likely love it.
I particularly liked the Aldwych tour; if you’re a film buff, you’ll probably recognize parts of the station. Here’s a brief introductory guide. Not all locations shown in the video are part of the tour.
j