Another vote for Crystal Palace. Bloomin' freezing in winter, but the main buildings are breathtaking, especially compared to most other stuff in South London - and kept in good nick by LOROL, at least cosmetically.
(I would also like to add that there are a few much smaller stations around London, such as on the Southern Metro, which are attractive, too, but just not grandiose. Penge West; some on the Tattenham Corner branch such as Chipstead; and, if bits weren't a bit dilapidated on the Fast lines, even Wandsworth Common! Then there are oddities like Battersea Park, which are very interesting and like an antiques shop of bits and bobs of railway architecture. A subject, no doubt, for a separate thread.)
Are we allowed the Tube? I rather like Westminster!