It's not something you immediately think of - it's rather unimportant after the first episode - but the specifics of Watson's injury makes no sense. The limp may be psychosomatic, but it's still rather strange that it would be his leg that went when he was shot in the shoulder. Far from a writing oversight or a basic example of how the whole thing's psychological, it's actually another of the show's incredibly involved references to the original books. Throughout Doyle's stories the nature of Watson's injury varied - it's initially in his shoulder, but inexplicably moves to his leg later on. This illogical cause-and-effect helps continue the tradition.