Ah, you're working near me
Screw South-West london

p), the District line is total ass, and it's a PITA getting back from Central London in the evening. Much like Clapham area, that's just as annoying, with the ridiculously heaving trains at rush hour.
There are a few apartments in Brick Lane which are pretty nice and reasonable (c. £800pm) with the bonus that you could walk to work every morning. Likewise in London Bridge there are some decent finds there.
The 'inner' Docklands have some good places with new builds for quite decent rents, Limehouse etc - again all walkable to work for you.
Otherwise I'd look at North London if you're working in the City, occasionally you get cracking places around Highbury - on the Victoria line and an overland into the City, plus easy to get back from central London.
EDIT: You're looking at a bit of a mission to walk from limehouse though! Canada water, as already mentioned, is new and has ncie places for not much money, great for canary wharf, not bad for the city.
Is your missus going to be working as well? Bear in mind £25-£35k is often a starting salary in the City for 'young professionals' so if you're starting on £35k that'll probably increase reasonably quickly.
I'd say come here anyway, London's the best city in the world IMHO and has loads to offer in entertainment and employment prospects