In His Last Vow, Mary, having finally been revealed, gives John a USB drive that has her real life story on it. Also printed on the USB are the initials A.G.RA, supposedly those of her real name. Mary's supposed initials are a reference to The Sign of Four, which is Mary's introductory story and features the Agra treasure. The Agra treasure is a small fortune in pearls and jewels from the Agra fortress that Mary's father and two other men, Sholto and Small, tried to smuggle back to Britain, but ended up getting double crossed by Sholto who ran off with it all.
2. Sholto
Speaking of Sholto, if that name sounded familiar while watching the Sign of Three, it's because he was in The Sign of Four! Name and rank is about the only thing the characters share though as they are mostly opposites. Major Sholto from The Sign of Four is a double-crossing thief, while the Major Sholto from The Sign of Three is a decorated war hero, who still has his enemies. Another difference is that in The Sign of Four it is Mary who is related to Major Sholto and in The Sign of Three it is John who is connected to him.
1. The East Wind
The final canonical reference in series three was Sherlock telling John about the story Mycroft told him as a kid, the East Wind, a terrifying force that lays waste to all in its path and seeks out the unworthy and plucks them from the Earth. His Last Bow, which is more Bond than Holmes, was written by Doyle during the First World War to help boost morale. The story ends with Holmes telling Watson about the east wind.
"There's an east wind coming all the same, such a wind as never blew on England yet. It will be cold and bitter, Watson, and a good many of us may wither before its blast. But it's God's own wind none the less, and a cleaner, better, stronger land will lie in the sunshine when the storm has cleared."
