It's my understanding that a woman who marries a man in Britian who receives a knighthood has the title "Lady." Agatha Christie's archeologist husband was knighted; she was "Lady Mallowan," and then later she was given the female version in her own right (Dame Agatha.)
So, if Sherlock received a knighthood (Doyle-canon, he actually refuses one, but it does get talked about in BBC), and married, say, Molly or Janine, one of the would be "Lady Holmes."
But I also hear the Britain is going to legalize same-sex marriage, if they haven't already.
So what if Sherlock married John? Or the reverse, what if John got the knighthood, for service to the country or something, and then they got married?
Which actually raises the question about the husbands of women with the Dame title.