There's literally hundreds of sites in the UK. Bath, possibly the most famous was a Roman baths. York, the wall of the city still stands today. Hadrians Wall, built by the Romans to keep out the Scots, and there's also a lesser known wall further north built by the Romans for the same purpose. Exeter has Roman walls still standing in places.

English Heritage lists 70 different Roman-era sites. The Welsh government has about a dozen, and Historic Scotland has 27. And these are only the most important or tourist sites. As /u/AiHangLo mentioned, there are certainly hundreds more.

In London (especially in the City and in Southwark) there are also quite a few modern buildings that are built on top of Roman remnants, and it happens every now and then that we find Roman baths/buildings on building sites. Examples include this, [this] (https://billingsgatebathhouse.wordpress.com/) and a quick google search should help you find plenty of others :)

So London, Bath indeed, and also Chester which interestingly enough has some of the largest Roman buildings in the UK, letting some historians think that Chester was intended as the first capital of Roman England before Romans decided it was a bit too close to Scots so they ended up keeping London as capital