There used to be a bit of a downhill run and some jumps over the road at the very top of the heath and a few nice trails through there. Really can't remember exactly though as i moved back from London 6 years ago. Up from Hampstead past the hospital, up that way (used to be a lake type of thing next to the road up there?)
Word of warning though, last time i tried to ride there the police were in the woods giving out fines to riders as the millionaire locals didn't like cyclists getting in the way of their dog walking activities (probably done by the hired help as well!) in 'their' woods.
Of course it may well have all been flattened since i was there.