I have stayed at all of them and the neighborhood around the Marble Arch has deteriorated. It likewise, is a good walk to the tube and and other nice things.
The Grosvenor is great, especially if you can get on the concierge level. They is a great pub right out back called the Audley. You can walk to a lot of fun places including Harrods, Hard Rock,the West end theatres and the public transportation as well as the tour buses are right there.
marble arch is in safe area but preference is county hall. service is top level - equivalent to JW stateside - i'd rate it after jw camelback and jw denver cherry creek. County Hall is high traffic area by day and early evening- next to London Eye and across river from big ben - two tube stations w/in 5 minute walk - both stations that cover anywhere you want to go - westminster across bridge and waterloo is 5 minute walk - late at night use westminster station as waterloo walk is thru office building area that is closed. if price is no issue - stay at county hall.
I like the Central London Hotel in Kensington, the London Marriott Hotel near Harrods Knightsbridge and V& Albert museum is a safe area. My http://www.elitepro-travel.com blog has more on London. The London Marriott Hotel Marble Arch is within walking distance to Hyde Park, Oxford (Shopping) street, West End Theatres. See Buckingham Palace. The flag is flying if the queen is in residence (but the Queen is hardly ever there) and see the Houses of Parliament from a red double decker tourist bus but get an overseas visitorTravelcard Oystercard. This is the new smartcard system that the underground, buses and some overground services use. A single zone 1 ticket costs £1.60, Vs a paper ticket costs £4! Or at the underground station you could buy a day travel card.
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