Yes, I posted something about this elsewhere, but Sherringford was either one of the original names for the character of Sherlock (ACD), or Sherlock's brother (Baring-Gould). So it could be Sherlock himself, maybe something about his past, or it could be the "other one". I think Sherrinford was older, but I keep coming back to twins because of "it's never twins" in TAB. To me, that almost sounds as if they're going to make it be twins one day! And I was thinking Moriarty, or possibly even Mary, but it could be Sherlock. Another thought I had (although I don't like this one so much), is that Sherrinford is Sherlock's older brother ... Mycroft.
It sounds as if these three names are the names of the three villains of the three episodes? Was that confirmed, or am I just speculating? If it's true, that would make Sherlock, or his evil twin, or Mycroft the villain. I actually quite like the idea of Sherlock himself being the villain - an internal battle.
I'm also bearing in mind that Moftiss talked about wish fulfillment and not postponing things - that there was something they really wanted to do that they've decided to put in as the climax to S4, instead of waiting till S5. I don't know if that give any clues about Sherrinford. They may have had plans for Sherrinford all along.
Thatcher is the one I'm stuck with. I don't feel I have a handle on what's happening in Ep1, what story they are doing. This is the one with the dog and baby. Of course Margaret Thatcher sprang to mind, and I think that in the UK, if you say the name "Thatcher", that's the person everyone will think of. And because there may be flashbacks in every episode, it could be just an era, rather than a villain. But if the other two are villains, then I'd expect something else.
Or maybe they're not all villains? Maybe "Sherrinford" really does just mean a return to the beginning for Sherlock, going back to his creation and alternate routes? And somebody else (Moriarty, Mary, Mycroft or whoever) is the villain?