I did one of these in London; it was a birthday treat for a friend. It was enormous fun. The whole thing was beautifully constructed - so much so that a lot of our conversation afterwards was about how hard it would be to make one of these things.
I never really got into the locked room games on computers, but physically being there with three friends shouting at each other over-excitedly when we worked out another step in the puzzle was much more compelling.
If you're interested, it's called HintHunt and is the number one 'thing to do' in London on TripAdvisor.
(Disclaimer: I'm just a customer, nothing else - I know my unqualified praise might make people suspicious.)