Here's one I heard last week on the National Public Radio quiz show in America called "Wait, Wait, Don't Tell Me!"

Q: BBC Sherlock is immensely popular in China.  What are the affectionate nicknames for the two lead characters?
A: Curly Foo and Peanut

I heard of Curly Foo only today, because I read it in the Benedict Cumberbatch Big Issue interview. But I didn't know about Peanut. I understand Curly Foo, because of his hair...but why Peanut???

Sherlock Holmes wrote:

In terms of these "facts"...I didn't know number 19 (the London riots), 16 (Andrew Scott didn't read the books). I didn't know that Blind Banker was the least viewed episode (number 9), but I probably could have guessed considering it's the majority of fans' least favourite. Number 8, I knew that 007 Bond Air etc was a Bond reference (obviously), but I didn't know that it was specifically related to a specific book, I just thought it was a general reference. Number 3 - I only knew there were 17 steps because I am one of these 'very particular' fans, who have paused the DVDs at various moments to count the steps. Yes, I know, that's kind of sad.

As for the one about Steven Moffat not visiting the set...well, that's not actually true. I think it's one of those Moffatisms, things that he says to make him sound more mysterious or whathaveyou. He was there on set when I was there at North Gower Street last year, and I really doubt anything had gone wrong that day. All they were doing was filming Sherlock hailing a cab. He was also there at one of the night shoots.
 

I knew about the 17 steps because it's in ACD, I knew about Curly Foo and Peanut from several articles about the Asian reaction to Sherlock--and the one about Moffat not visiting the set was one of those I figured were "not precisely accurate" based on other things I read, I'm glad to have that confirmed!
 

Some of those mind blowing facts are from interviews and dvd commentaries so it's not as if they're incredibly hard to find. I was surprised about the moffat not being on set, though. I've never been at the filming but fans that do attend film him there all the time. Maybe he referred to the internal shots or, as SH said, exaggarates.