Oxford Street is Europe's busiest shopping street, with around half a million daily visitors, and as of 2012 approximately 300 shops. The first time I got out of Oxford Circus, the underground station that serves Oxford Street and Regent Street, and made my exit for Oxford Street, I felt like I was suddenly hit by a storm of people! Feeling overwhelmed by the crowd, I had to stand back for a few minutes and reorient myself to the most crowded shopping street I have even been to anywhere in Europe!
Despite the crowd, it is also one of my favorite shopping streets in London. Selfridges is my favorite department store here and Topshop is right across the Oxford Circus metro station. Other stores like Zara, Uniqlo, Marks & Spencer, H&M etc., are all within walking distance of the tube station.
In fact, once I actually walked from Oxford Street to Covent Garden passing through Soho and back to Oxford Circus! However, if you plan to walk, you must be watchful not only of the crowd keeping your belongings close to you, but also of the traffic. I noticed that pedestrians casually ignored the red lights while crossing streets which I realized was not a great idea if I didn't want myself to be run over by London cabs!