See reviews of recent interviews at the London Embassy here.
Getting There and Getting In
The Embassy's physical address (NOT mailing address) is
24 Grosvenor Square London, W1A 2LQ.
However Google maps does not find this correctly, nor does it find the US Embassy accurately. From what I remember (please edit if I'm wrong) the queue starts at the corner or Grosvenor Square (this street is called Brook Street to the east and west of Grosvenor Square) and Duke Street on the north side of Grosvenor Square itself.
This map designed by Nich-Nick shows all the relevant locations for embassy, medical and Gould, as well as a couple of member-recommended nearby hotels.
You cannot take any large bags or any electrical items in to the embassy building. This includes MP3 players, mobile phones, even electrical car keys. You can store any such items at Gould Pharmacy for a £5 holding fee. See link for contact information and map.
The optimum time to be at the embassy is 30 mins before your appointment time. If you get to the top of the queue too early, they won't let you in, so being earlier than that is often no advantage. When you get the to top of the queue, a security office checks your appointment letter against a list they have, then lets you through to a small security hut.
The Interview
Once you get in the building you take a ticket and wait for the ticket to be called.
You speak to two CO's while your there. The first takes your documents and sends you to make your payment. The second is your 'interview' where they will ask you questions about some of the information that you have put on the forms. The interview portion is usually conducted in a very friendly manner, and is rarely very probing. You then pay for SMS couriers to return your passport to you once the visa has been issued. That's it, you're done!!
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You can find other UK specific information in the UK FAQ.
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NOTE: The above information does not address the specific requirements for any given case and is not a substitute for the advice of an attorney.