The Valley of Fear: book coded message
The Adventure of the Dancing Men: picture coded message
The Sign of the Four: locked room mystery
The Valley of Fear: someone running from a cult but being tracked and killed upon reaching England, also mentions foot markings of cult members

I promise it will get easier to spot references the mor eyou read - it atually becomes kind of a sport - watching the BBC show and shouting out canonical refernces to your friends ;)

There are also several threads on this message board that delve deeper into this.

And the showrunners use ideas from outside Doyle's canon too:

When you were hammering out the concept, did you look at any other adaptations of the books for ideas?

SM: We decided, at one point, that everything is canon, so you can raid from any adaptation. But yes, we know the stories incredibly well, and there's loads of things in the stories that don't often make it onto screen.

Like Sherlock Holmes laughs all the time in the stories, he's always bursting out laughing, or roaring with laughter, or having a laugh. And Sherlock and Watson in the stories actually laugh together a lot. You never see it! He's always stern. He's not like that at all, he's quite impish.

MG: Our favourite is the Billy Wilder film, The Private Life Of Sherlock Holmes, which is a perfect combination of reverence and irreverence. That's why it's absolutely authentic. He plays very fast and loose with some of the most revered concepts, but in the end is an incredibly affecting, moving piece of cinema.

We sort of wanted to get that spirit into it. It's made by people who love Sherlock Holmes...

You gotta love that