A bit of background as to why the Albert Hall, and the three museums, are all in that area (South Kensington).
Queen Victoria's husband Albert helped to organize the Great Exhibition in 1851. This was held in Hyde Park in the large glass building nicknamed the "Crystal Palace".
http://en.wikipedia.org/wiki/The_Great_Exhibit ion
(The building was eventually moved to South London but burned down in 1936).
The Great Exhibition was a great success and made a large profit.
Albert decided it would be good to build a lasting tribute so he purchsed land in South Kensington and decided it would be a monument to the arts and sciences.
Many buildings were built (most are still there) and some are wonderful displays of Victorian architecture. The Natural History Museum building is just as wonderful as anything inside it.
Picture of inside
http://bozent.com/tpo/images/BritishNaturalHis toryMuseum5.jpg
The whole area became know as Albertopolis.
http://en.wikipedia.org/wiki/Albertopolis
When Albert died Victoria built the Albert Memorial right opposite the Albert Hall
Here it is with Albert Hall in the background.
http://zooterville.com/pblog/images/albert-mem orial1.jpg
The whole area is a wonderful place to walk round, even if you dont go into anything.