I never really spend much time around Southbank but a little while back we bought some tickets to see a burlesque show at London Wonderground which just happens to be on the Southbank. Now, this is a really really popular area after work so don't go there hungry because the queues are too long to get into a restaurant before you starve to death. But a drink is definitely on the cards, and if you, like us, didn't have time for dinner anywhere else then there are some food trucks around, just stay far far away from the falafel wrap inside London Wonderground. That thing was not edible.
About the burlesque show: I have never seen burlesque and was a bit apprehensive as to what we would experience, but the show we went to is by House of Burlesque and it is fantastic. Yes there is some nudity, but there is more humour than anything and I was totally blown away by the aerial performance (worth the ticket price alone) and the neo burlesque girls. I actually want to go again, it was that good.