Using a flashlight to go after the ghost, while John is trying to keep a candle lit.

"Virus in the hard drive" was the big tip-off for me.  Knew that there was something afoot/askew from that point on. :-)

If you pay really close attention there are many times you can catch the sound of being inside an airplane during scenes in the MP.  Sometimes it's almost subliminal.  

This Is The Phantom Lady wrote:

I wish my hearing was better... but I'll try to do my best noticing that the next time I get a chance to watch it... 

Try turning it way up and closing your eyes when you think you hear it. 
 

I guess some things could be called clues, others could just be references to the modern version. Redbeard for example was just a reference to me first. But the very first scene with Mary where Sherlock is deducing her and mentions the perfume and says to John "...which brings insight to me and desaster to you" - that immediately made me go "Wait a minute!". 

The first thing was the kind of corny introduction with the recap of previous episodes.   That was unexpected - why would we need that, especially if the new Victorian story seemed to be starting from the beginning?   I was puzzled about why they did that when I saw it, but looking back, it was the first big clue.

Serbia had existed as an independent kingdom since 1882. Nevertheless I took it as a clue since there was the Serbian connection from TEH. 

Another one: 
The walls shaking in the Moriarty scene. Reminded me strongly of "Inception". 
 

John's clothing in the train changing to chequered shirt and jacket for a moment.

I guess Sherlock in the prison cell as John and Mike walk into the morgue was the first big clue.?

I missed any prison connection. Have to watch again. 

Thanks Susi, I didn't know about Serbia, I thought it only formed after the fall of Yugoslavia. But indeed still an odd reference for Watson to make. 'Sounds French' would have made more sense.

The shaking: yeah, that's when I knew we weren't in reality. Also really neat how the sound changes into the sound of the plane. 

I've got another one, not related to the mind palace twist but to the case: Sir Eustache's fainting when he sees the bride. Fainting under stress was a bit of a trope in ACD's stories but IRL people don't faint when they are under stress (unless you suffer from nacolepsy or something). In fact, we get a shot of adrenaline and quite the opposite of fainting happens. So him fainting is a clue that Lady Carmichael isn't a reliable narrator!