Quite a sight (and terrific photo-op) and built for John Ashby in 1816, this is the closest windmill to central London still in existence. Later powered by gas and milling as recently as 1934, it's been refitted with sails and machinery and is open to the public for free guided tours from April to October, usually on the second weekend of every month. Check the website for dates and times.
Head down Brixton Hill and walk a few minutes along Blenheim Gardens to the windmill.