Just opposite Victoria Station and the Victoria Palace Theatre is the Apollo Victoria. It's rather hard to miss at night with its appropriately green neon lights (its current production is the Stephen Schwartz musical, Wicked.)
To the right and left of the entrance nearest Victoria Station are Art Deco murals. Note the guy enjoying a smoke just left of center. Now he'd have to go outside. The theatre opened as a the New Victoria Cinema in 1930 (and still very much looks like one in a Radio City Music Hall vein), a so-called 'super cinema' with the stalls below ground level and the first balcony off the central lobby, reached by identical twin entrances. I hope to see Wicked there soon.