Take it from a dude who has been to a fair share of these:
1. Brad is right, if you want to "eat, breathe, and live toy soldiers" then Chicago is for you.
2. Keep in mind though, the "Chicago" show is not in Chicago. Its in Schaumburg which is a very typical American suburb(chain food eateries and you have to drive a car to get any where). Not thats there is anything wrong with that, thats just the way it is.
3. Chicago in my opinion has the most shear volume(dealers, soldiers, collectors, etc). A lot of people just go to experience the room trading. Which trust me, nothing is traded. Dealers set up shop in their hotel rooms while customers come in and look around and talk shop. Some people dont even stay for the show as they just want/love the room trading experience.
4. While Chicago does have the most dealers it doesnt have the most diversity. For example there a lot of toy soldier dealers in America who carry K&C. So a large majority of them set out almost the same/identical K&C as other various dealers. You do usually see a lot of repeat stock shown.
5. Since Chicago is spread out over a couple days and there are a lot of collectors who meet up with old friends there, it is more of a camaraderie type of event.
6. The London show is by far the most diverse. Every dealer table there has something totally different to show and offer then the next table. There is no room trading event and the show is over the course of just one long day(saturday). A room trading event at the Royal National would be like trying to eat a soup sandwich.
7. Additionally, the Royal National sits right in the heart of London. A 15 minute tube ride can have you at almost any London attraction in tube zones 1 or 2.(Big Ben, Parliament, Westminster Abby, Buckingham Palace, Imperial War Museum, Tower Bridge, Tower of London, London Eye, Trafalagar Square, St Pauls Cathedral, etc). You can even walk to the British Museum in about 5 minutes from the Royal National.
In short, if you want to travel and experience other things then just toy soldiers - well London is for you. The London Show and the sites make for an awesome visit dude. If you want experience sites for the Chicago Show, well you'll have to pack it up and take into the City.
Everyone is different. Everyone travels different and everyone wants a different experience.
Just my take on it.
Keep it silly.