Flying Colours is a contemporary art gallery just off the King's Road: you can probably guess the rest. Interesting paintings by a broad selection of artists (mainly British) with prices ranging from 'perfect for Venetia's 21st birthday' to serious trust-fund damage.
This is definitely somewhere to go to buy rather than for an afternoon of culture: their website says that you can hold your wedding list at the gallery. Imagine doing that at Sadie Coles.