There are lots of exclusive clubs in London but they can be very pricey. You can pay between £10 and £20 for entry into them and usually you have to be on the guest list. Mo*vida, Pangaea, Chinawhite, Fabric, Pacha, Paper, Boujis are some of them. I'd avoid the tourist traps in leicester Square such as Zoo and Oxygen as they will just rip you off. However you can expect to pay up to £6 per drink in some clubs.