Just outside NW London there is the "Alban Way" along the former branch from Hatfield to St Albans. There is also a former line available as a footpath from SW Watford to Rickmansworth - the "Ebury Way".
Part of the Harrow-Stanmore branch mentioned by Edwin_m can be walked, and is referred to as the Belmont Trail. Part of the Mill Hill East-Edgware line is also walkable, officially from the Copt Hall Leisure Centre eastwards to a footpath which extends from Sanders Lane. The section westwards from Mill Hill Broadway to Edgware is mostly overgrown, although part is apparently a nature reserve, run by the London Wildlife Trust, which can be opened for visitors.
Due to the development of London, there have been very few closures of railways in the area!