Four more for the record.
Earls Court (from Piccadilly Palare and in the title of the 2005 live CD).
Parkside (Wimbledon) from Maladjusted.
SW6 (also from Maladjusted) is the postcode for Fulham (Fulham is also mentioned in the song as stated on another post)
Strangeways (Manchester) although not a song itself and the album title refers to the prison, Strangeways itself is a Manchester district.
Also, what about Buckingham Palace? Although not directly name checked, the line from The Queen Is Dead 'So I broke in to the palace' is a reference to Michael Fagin's infamous break in when he entered Buck Palace and met the Queen in her bedroom allegedly asking her for a cig!
Someone should do a book listing all of these places......
Jukebox Jury