Oxford Street was a major thoroughfare in the West End of London. Traffic was typically heavy. (PROSE: Heart of TARDIS) The street was famous for its Christmas lights. (PROSE: Frontier Worlds) It was also the location of a lot of Christmas shopping, where people sometimes battled over who'd get what. (PROSE: Christmas Special) It so busy a week before the holiday that one could barely move. (PROSE: History 101)
Hanway Street joined it to Tottenham Court Road. (PROSE: The Quantum Archangel, Millennial Rites, The Crystal Bucephalus) A few of the street's shops were HMV, (PROSE: Favourite Star, Loving the Alien) McDonald's and Claude Gill Books. (PROSE: The Crystal Bucephalus)
Ace contemplated requesting the Seventh Doctor take her there for some shopping, thinking it would annoy him — all of time and space, and she wants to shop on Oxford Street. (PROSE: Prime Time) When Ace did visit the street, she did so in 1959, and stared in horror at the fashion on display. (PROSE: Loving the Alien)
Real world location
Though it's possible that a real world location doesn't exist in the same geographic space in the Doctor Who universe, such cases are few and far between. Thus, the map at right is probably a good indicator of the DWU location of Oxford Street.