There are several discussions on this subject already, however most are hidden in threads about the shortcomings of other gyms, so you're perhaps forgiven for asking!
Personally I go to Cannons on Cousin Lane, near Cannon Street station - which, though it's not in SE1, is walking distance from London Bridge. It is large, with two pools, two studios, a boxing studio, a yoga/pilates studio, a cycle studio and squash courts. It's got a good range of equipment and loads of classes. When things are broken they fix them quickly and efficiently, and there's a feedback section on their website which - in my experience - actually gets acted upon. The staff are mostly really lovely, too.
There's also a spa with beauty salon, and a cafe run by the Bagel Factory .
The only minor annoyance is that they are only open 10 till 6 at weekends, which may or may not be an issue for you. Also they let parents with children use the swimming facilities at weekends, which is fair enough but can be annoying if you're after a quiet swim.
It's expensive but have a look at whether you could get an affordable deal via PruHealth health insurance, as I do.
I have no connection with either the gym or PruHealth other than being a happy customer.
I had high hopes for the new soho gym at Empire Square, and joined as a 'founder' member. Unfortunately, although it was supposed to open a month ago, and did so a few days ago, they still haven't got any hot water so you can't shower after you've worked out. They haven't delivered, as far as I'm concerned.
(No connections to the trade, just trying to find a decent gym in SE1 which is no easy task)
i think Soho Gyms at Empire Square will come good in the end. The other branches have excellent reputations and as someone who has used the waterloo gym i am sure it will be a great addition to the area.
I can also recommend Cannons at Cannon St. It's really spacious and relaxing, kept in good order with loads of classes and good facilities. It's not the cheapest - I paid £75 a month but got a lot of use out of it. Subsequently I joined TopNotch on St Thomas St which is OK - but at £65 it's a much lesser gym for just £10 less per month.
I have been a member of Soho Gym near Waterloo and have always enjoyed it there. However, I am extremely annoyed with them over the new Borough branch.
As has already been mentioned, there still is no hot water and the whole place has a feeling of being unfinished. Also, they heavily advertised the fact that PowerPlates would be available at the gym. Being the sort of person that is delighted by a fad I got quite excited about that. Today I have found out that they are only available if you book an extremely expensive series of Personal Training sessions.