You know, I was all hyped up about clicking on this thread and I was gunna be all 'SAI SAI!!!!
Camden Market <3' and then you went and ruined it :P
Well, if you're into gothic lolita I can recommend some good sites. They aren't specifically GL, but they do corsets, tutus (long and short, frilly and not so much) which together make good outfits, and actual dresses that could pass for GL.
Plus, the shipping is cheap since they're based in England.
I also have a friend who bought a lolita dress from somewhere in leicester square... I don't know where though.