I'm going to London in the middle of November - it was going to be Budapest but getting a free flat decided it. Both are good places to be in unpredictable weather, since they have so many options for what you can do. (If it really sucks, do undergound Buda or the Cabinet War Rooms).

One place that is positively enhanced by grotty autumn weather is Bruges. Read this book:

http://en.wikipedia.org/wiki/Bruges-la-Morte