For me it was Kitty Winter. I assumed the show made her up, then found out she's straight out of The Adventure of the Illustrious Client. So is Gruner, and so is Shinwell Johnson, who's Holmes's informant in that story. One short story gave the show three characters.

Mycroft's restaurant chain being called Diogenes, on the other hand, I got right away.

What did you only catch later, or only after reading the stories?