Watson's line to Holmes, "You know that what you're drinking is for eye surgery?", is an obscure reference to Holmes' cocaine usage. At the time, cocaine was used as a topical anesthetic for eye surgery. In the stories, Holmes injects cocaine.
Robert Maillet (Dredger) accidentally knocked out Robert Downey Jr. (Sherlock Holmes) while filming a fight scene.
After Guy Ritchie signed on as the director, he insisted that the two most common clichés of Sherlock Holmes, the "Elementary, my dear Watson" quip and Holmes' deerstalker, be dropped entirely.
After examining Lord Blackwood's coffin, the line that Holmes and Watson deliver in unison, "The game's afoot; follow your spirit: and upon this charge, cry--God for Harry! England and Saint George!" is from William Shakespeare's play Henry V.
In the stories, Holmes is described to be an expert in Baritsu. In the film, however, the martial art that Holmes uses is Wing Chun (famously used by Ip Man Yee and Bruce Lee). Robert Downey, Jr. is a practitioner of the art in real-life, and the fight scene between him and David Garrick at the Punch Bowl Pit was coordinated with the help of his trainer.