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The first public street lighting with gas was demonstrated in Pall Mall by Frederick Winsor in 1807.  In January he lit the street and in June he put on a special gas-lit exhibition here, celebrating King George III's birthday.  Lighting streets using gas quickly became very popular and there were once more than 60,000 gas lamps in London. Although most have been converted to electricity, there are still about 1,600 remaining, mainly on landmarks such as Buckingham Palace and Westminster Abbey.  The Picture Source website gives a good history of gas street lighting.

Some lamps were lit by gas from sewers and one of these, in Carting Lane, still works.  IanVisits has a good post on it.

Other firsts: IanVisits has a post about the first shopping street in the UK to be lit by electricity.  And the Savoy Theatre was the first public building in the world to be lit throughout by electricity.

Londonist has a terrific post about early electric lighting events in London.