The Chess Motifs throughout the film cast Holmes and his allies as the black pieces, and Holmes takes the black side when he and Moriarty play chess in the Grand Finale. This clashes with the general color-coding of pop culture, which mandates that Light Is Good and Dark Is Evil. But in chess, white and black have nothing to do with good and evil, but rather with offense and defense. White moves first by default, and is therefore on offense, while black moves second, putting them on defense. And Holmes is very much on defense throughout most of the movie.
A rule in chess is that if a pawn makes it to the other side of the board, it is promoted to a queen. Mary was pretty much a "pawn" in the game since she didn't have much of a role in the case except as Watson's wife. However, at the end, she was instrumental in taking down Moriarty's organization because Moriarty was too busy with Holmes and Watson to notice her. In other words, Holmes turned Mary from a pawn to a queen.
Every event in The Final Problem happens in some form or another in A Game of Shadows. Watson just toned it down into the "marketable" story that Conan Doyle published.
At the end of the first film, Watson and Mary find Holmes hanging from the ceiling. Watson quickly says: "Suicide is not in his repertoire, he's far too fond of himself for that." Cut to the final confrontation at the end of the second film and it appears Holmes has in fact killed himself to stop the villain...and survived the encounter somehow. He really is too fond of himself.
Moriarty sending a bomb to Dr. Hoffmanstahl and Irene Adler in the opening scene isn't only because he wants to to thoroughly guarantee their deaths, but also because he's been funding Bomb-Throwing Anarchists all over Europe. Just like with the Meinhard assassination, people would assume that anarchists are the likely culprits and not investigate whether a particular victim was targeted. It would have the dual goal of tying up loose ends and raising political tension in Europe.
There are plenty of instances with gay subtext in A Game of Shadows but one is particularly subtle. Apparently, Brighton has a substantial LGBT community, to the point where it was called "The Gay Capital of Britain". This was where Watson and Mary were going to have their honeymoon.
When Holmes and Moriarty meet in Moriarty's classroom, both make perfectly clear that they'll stop at nothing to oppose the other. At first, you might be scratching your head and thinking Why Don't You Just Shoot Him? to both of them. Then you realize, this is Holmes and Moriarty. It's completely in character for both of them to want the challenge of a Worthy Opponent.
1891 was a hallmark in the road to World War I in Real Life, as it was the year that the Triple Alliance between Germany, Austria, and Italy was renewed (in response to France approaching Italy), France and Russia signed an alliance, and Britain refused an alliance offer from Germany. So Mycroft's comment that the conference's aim is to defuse the current crisis between France and Germany (who were sworn enemies since the end of the Franco-Prussian War in 1871), but that in case it doesn't work everybody else is there to decide which side they pick, is part this and part Shown Their Work.
At first, it seems anachronistic for the weapons used during the train yard shootout, like the Mauser C96, to be appearing in 1891, and simply an example of a cool and rare gun being shoehorned into a Victorian story. However, it's perfectly plausible for Moriarty's weapons business to be involved in advanced weapon design, and the Maxim machine gun that formed the basis of semi-automatic research was almost a decade old at the time of A Game of Shadows. After Moriarty's death and the collapse of his empire, the plans would have been seized by a third party and developed into the real-life C96 model half a decade later.
At first, many of the weird, steampunk-like things appearing in both films appear to be merely Anachronism Stew designed to appeal to fans of 21st century action movies. But when you take a closer look, many of the elements—weird weaponry, concerns over foreign invasions, and stories about phony supernatural events—are exactly the sort of stories Victorian fans of Arthur Conan Doyle's works would have seen in other popular stories and novels of the day. This isn't a research error for the Victorian Era, but a careful reconstruction of the tropes found period pulp fiction that eventually inspired our current action movie clichés.
Why does Mycroft have a personal oxygen supply at the peace summit? Because, as he mentions in a throwaway line near the start of the film, he suffers from asthma, which is made worse by the high altitude.
The Cossack has chest protection against Simza's knives. Watch Holmes' mental version of the fight again. Entirely by coincidence, none of his blows are targeted at the Cossack's chest.
The conductor telling the disguised Holmes, "I'm sorry, madam, you can't use the lavatory while the train's in the station." It may take a few viewings to realize that the movie takes place in a time period where, when you flushed the toilet in a lavatory, your waste was flushed right onto the tracks, and thus it was not wise to flush while the train was stopped in a station. These days, passenger trains use retention tanks that are emptied at stops where the train is scheduled for lengthy servicing.
Holmes tells the older couple "To the south!" when telling them to move to Second Class. The train is going from London to Brighton, on the south coast. The Second Class carriage is nearer the front of the train, so Holmes is indeed sending them south.
Right before Holmes sacrificed himself by pushing him and Moriarty over the edge, he closed his eyes just as Watson walked in. He wanted Watson to be the last thing he saw.
Watch Holmes' imaginary final battle with Moriarty closely. It starts with both men taking up equal amounts of the frame. By the end of it, Moriarty's dominating Holmes so hard he ends up dominating the cinematography, even when Holmes ostensibly takes up more of the shot. Moriarty's finishing move is just letting go so Holmes drops out of the bottom of the frame, while the camera stays centered on Moriarty and pushes in as he watches Holmes fall.
There is a distinct possibility that MORIARTY IS ALIVE. Holmes is shown to survive the fall from the castle by using the oxygen device he ostensibly took from Mycroft. Aside from his asthma, why on earth would Mycroft have had one in the first place? Simple - the altitude of the castle meant the air would be thin. Thus, all the guests of summit would likely have had such a device - including Moriarty.
It's stated that Mycroft had created the device for himself. It's never said that he made more and gave them to other guests at the summit, otherwise we'd see everyone at the party huffing oxygen. He only made the device in the first place because he had health problems and inhalers didn't exist back.
