I preferred London but I did take my bike on the Light Railway. They allow it for the weekend and it is easy.
As far as Windsor goes, it was my first one and I totally panicked in the Thames. I don't know whether it was swimming up stream or the crowd or the wetsuit but every other race went well and the good news was that I was loving the rest of the race because I was so damned glad to be out of the river. Also, small attack by swan didn't help matters.