The Victoria and Albert Museum has an interesting exhibit of dream and horror inspired design called Heaven and Hell : Telling Tales.
A particular favorite of ours was this white chandelier of twisting bodies of the damned, sculpted in white plastic by Luc Merx:
The museum also has a nice hall of sculpture and some great paintings, including The Day Dream by Rosetti, and a few Blakes. Above all, the Victoria and Albert Museum is a decorative objects museum. Recently, the museum updated its web site to feature over one million objects from its collection: http://collections.vam.ac.uk/