Every time I have ever watched the 'In My Bed' video I've found the architecture of the hotel intriguing and always have gone on a Google hunt to see where it was filmed, but never had any luck ... until today
It was filmed at the Grand Royale London Hyde Park Hotel. The building was built at the turn of the last century by Edward VII, as a private residence for his mistress. In the early 1900's it was sold and renovated, with the architects creating the lavish and intricate Edwardian interiors and fascia. The house became a hotel in 1966.
In the photos below, it looks like it went through another major renovation since Amy was filmed there, but you can still see some familiar background settings ...