Oxford Street is 1� miles long (or even longer if you include New Oxford Street). Vehelpfulguy's answer assumes that you want to get to Oxford Circus, which is near to the centre of Oxford Street. If you want to explore all of the shops it might be better to start at one end and work your way along. If so, use VHG's map and head for Marble Arch (at the western end of Oxford Street), Bond Street (just a short way along from the start of the shops at the western end) or Tottenham Court Road (at the eastern end of Oxford Street proper, although there are more shops on New Oxford Street which forms an eastern extension of the Oxford Street shopping area).
Many of the major stores (e.g. Selfridge's and Marks & Spencers flagship store) are at the western end of Oxford Street, so trevelling from Waterloo to Bond Street (3 stops on the Jubilee Line) might make sense. To see what's where, click through the numbered links here:
http://www.streetsensation.co.uk/oxford/os_int ro.htm
or see here:
http://www.oxfordstreet.co.uk/shopping
Chris