I haven't been long to the forum so I haven't introduced myself of anything but I'd like to give something about that troubling last episode. This is not for criticism and I don't know if it has been addressed already here. I am just happy to be part of this fandom and read all the amazing theories we can come up with. The theories I'm going to list are not written by me (I might have thought about many things to explain to myself what is going on but I'm hardly the person who will sit and investigate and write them) so I'll be giving credits all over to the amazing Johnlock community in Facebook or Tumblr 

However these theories are NOT addressing to TJLC only. They are just trying to find answer for inconsistencies and plot holes generally. So feel free to read and enjoy the crazy adorable readings fans give to our favourite show <3 

Also I am using abbreviations for the episode titles, hope it doesn't get confusing :/

There are mainly three theories going around right now:
1. ALL OF IT IS REAL (which implies Moftiss are not playing with us about anything and they are entirely honest about not having any other footage and seriously believe this season was the best they ever wrote)
2. Extensive Mind Palace theory - EMP (which means parts of the season are in Sherlock's mind at least up to TLD and maybe since HLV)
3. TFP is John's TAB (basically John hallucinating after being shot by Eurus for real)

I am going to mainly concentrate on the third theory because that's what makes more sense to me but I believe the truth lies somewhere in between all those theories if you combine them somehow together because the clues are too many to ignore. However, I am going to be explaining a little something of the other two. Also if someone wants to know everything about all of them here is where I got all my sources: 
http://sherlock-overflow-error.tumblr.com/post/156153037303/the-final-problem-survival-pack
http://inevitably-johnlocked.tumblr.com/post/156077997185/mounting-evidence-of-a-conspiracy

1. So basically if it is all real the only hope that people who are disappointed with the show can have is a secret fourth episode. So here is a question: Can we really believe that our wonderful, well-thought, obsessed with mind-games, playful, beloved and clever writers -even if they are not as clever as we thought- would ever leave so many fans disappointed on their writing? And if they hide a secret episode, if it was all real, can they fix everything? Every little plot hole they "accidentally" left slip? I'll leave you to think about it 

2. There are many theories on EMP. Basically I have seen about three or four different ones. Here's the ones I most read about:
a) We are in Sherlock's mind since he got shot by Mary in HLV and we are moving from reality to his mind palace all the time. TAB was almost wholly in his mind palace and this flipping in and out of reality continues up to TLD.
b) We are in Sherlock's mind palace since TAB up to TLD. That's why all the water in T6T from the moment he saw Thatcher's pictures. His flipping in and out, trying to keep himself away from the drugs he took even before the plane scene. 
c) Sherlock is retelling what actually happened to protect John (since T6T was already addressed in John's blog and the blog is BBC canon and it is a different story) (protect John by not telling the real story: probably because John had to do something bad to keep them both safe). This is not strictly speaking EMP since many people think he retells the story when interrogated by Cuvelton Smith (In this case TLD is partly real and maybe Cuvelton even administrated Sherlock with the TD-12 which damaged some of Sherlock's memories or brought them to the surface? -Redbeard, I dunno, whatever-). This theory also consists of trying to solve an inconsistency about Mary's character. In this version Mary shouldn't have a redemption character arc before she died (here comes the part that John probably had to do something bad we were talking about, many people say he had to kill her. I have to admit not very fond of it, I am just laying it all out for you to decide). More on this because it is more complicated to explain on one of the links above.

3. TFP being John's version of TAB in my opinion stands a bit out of the rest as the most likely one. The reason's for this is that EMP focuses on Sherlock Point of View and that means we haven't seen the real John for about a whole season (although the last EMP version probably takes as reality every scene that John is seeing Mary because it is clearly John's POV and also almost all TLD especially everything after the hospital scene and Sherlock almost dying -although some have said it doesn't make sense that his birthday was mentioned since we know he has it on January and that means a whole year must have past since HLV Christmas with Sherlock's parents. However it seems good to me since the baby is shown quite grown, but it would be weird if they had left so many gaps-). 
Anyway going on with John's TAB theory. This is mostly also a TJLC supporting theory but it is interesting for whoever keeps reading this, lol. This firstly requires John being shot for real (probably not in the head, please). So we actually see him hallucinating in his mind bungalow as he calls it while trying to hold on to life (my small head can make sense of it but can also make sense if John was shot with a tranquilizer, he could also have hallucinations there, couldn't he? But this doesn't fill the plot holes as the real theory does so  don't mind me). This brings up Johnlock because we were hinted towards the ACD canon story during TFP (the three brothers?) of the Three Garridebs where John gets hurt and Sherlock... well, let's just say something really interesting happens for TJLCers  (search it up, here is an extensive analysis: http://www.nekosmuse.com/withlovesh/?p=175 and here's the particular quote: https://angel-loving-star.tumblr.com/post/156167408351/wait-a-minute ).
So if John gets shot (something tjlc theory was expecting since three years ago? i dunno... also Mary's death was pretty predictable, for me at least, so I'm sticking with this theory because it is what brought me up to this point and everything it was saying generally was right <3 ), Sherlock basically needs to save him. The problem here is that we haven't seen John accepting himself even though he practically told himself through Mary to "get the hell on with it" (if not being the man he really is then.. what?). We saw Sherlock accept himself in TAB, in his mind palace, in a near death situation. So when Eurus shoots John... Basically we have the same for John. In his near death situation, he hallucinates everything in TFP (while maybe Sherlock is above him in the hospital trying to bring him back to reality which influences John in his hallucinations as well). In his mind, John projects everything about himself to the rest of the characters just as Sherlock did in TAB.
Before I get to the explanation of the theory, I'd like to point out some facts that inspired it (all of them can be found in the sources above). First of all, as you all know, almost 20 horror movies are referenced in TFP. From John's blog we have seen he liked very much his 007 time and also from T6T and TLD we are constantly reminded of how many movies he watches and how well he knows them all (seriously, John's conversation with Mary about Rosie with the 666? John practically corrects her while he is half-asleep). Like in TAB we have Sherlock seeing the "mad and gothic enough" world, in TFP we see John's love of Bond and Hollywood cliche and horror. Secondly, Mycroft is completely out of character because that's how John actually sees him, he sees through him, he sees how Mycroft has made mistakes and led Moriarty to Sherlock but he also sees how Mycroft cares about Sherlock enough to sacrifice himself. John sees also Mycroft as a coward sometimes and that's why we see him throw up at the first sign of blood. Third, we see John's worst fears through Sherlock ignoring Vatican Cameos. Fourth, we see the parallel of TAB with the plane and the landing again (only this time is John trying to survive a bullet wound and like Sherlock learns in the end of TAB, John will always be there when he lands. John needs to learn the same thing, that Sherlock will always be there when he lands). In his mind, John is Eurus and we see a clear parallel of that by having small Eurus in supposedly Sherlock's memories wear the same sweater John was wearing earlier in the Sherlock series. We see also the girl on the plane sitting at exactly the same place were John was sitting in T6T on the plane with one empty space between him and Mary, and the girl has one empty space between her and her mother. Everyone in the two planes is sleeping too. The camera shots are the same. John is Molly. Molly has always been a John mirror so blatantly in the whole series. Now, she literally wears the sweater she was wearing when Sherlock asked her to solve crimes with him like John used to do when he gets back to London in s3. Sherlock calls her John during the whole day even though he said to her to be herself. The riddle of the graves was impossible to be carved there from the beginning since Eurus was one year smaller than Sherlock. Sherlock when solving the puzzle which is shown wholly on screen adds one verse that doesn't exist in the numbers "Without your love". We have similar spinning and surreal cinematography just like in TAB to hint us this is not real.
That's the least I could gather. There are loads more that I haven't mentioned but to keep this short here is a bit of further explanation (that's probably only for TJLCers but if you like the evidence so far, you are welcome to read, see if it makes sense and if you like it, you can believe it):
In TFP we have a Molly/John sized coffin. Molly's character arc doesn't match with the one saying "I love you" but if this was John's mind then we have a John that deems it impossible to stop loving Sherlock so projecting himself into Molly he not only realizes that he does love Sherlock but that Sherlock also loves him.
John projects his 'bad' self into Eurus. We heard Eurus admitting having sex with someone from unidentified sex? Who also died from her abuse? Eurus is the part of John which he has closed up in an isolated island, behind a glass cell (or a coffin which is paralleled in TAB as a closet -in this case Sherlock breaks the coffin/closet). So we probably see that Eurus is John's hidden sexuality which he deems very very wrong. However, Sherlock not only breaks the coffin but also John/Eurus is telling him to look for what he doesn't see, he is telling him to come closer. Finally, John is realizing that there is no glass, that he can touch Sherlock because he wants to, that he can be free. Then about the "I want to break free" song: John listens to it in his mind while Moriarty comes in (who is Sherlock's bad and hidden self/sexuality from TAB) and is the Christmas present of Eurus/John...? Remind me which Christmas was that? Five years ago... The Christmas of TSiB where John thinks Sherlock has an interest in Irene and he resigns when Irene (an expert in sexuality) says to him that they are a couple and "look at us both" and John looks resigned as if caught and then tries to run and explain himself to Sherlock (who was listening all the while) but Irene stops him? Another clue about "I want to break free": Sherlock suddenly found in a room with fake walls and he pushes one and at the same time all the others fall... Take a look at Queen's original "I want to break free" video (yes, I know it is Mrs Hudson in her kitchen but what happens in 2:05?): https://www.youtube.com/watch?v=kEKVLjXO2Fk
Another small cute clue I loved was the way Sherlock played John/Irene's theme as 'him' (TJLCers if you are still reading you know what I'm talking about) and Eurus asked him if he had sex ;) well this one is one of John's constant worries and fears about Sherlock being with Irene but well... He doesn't know that Sherlock wrote the piece for him and not Irene... um... awkward...

So basically this is all. I have so much more to write but I feel I've been making this exhausting. All the sources and pictures and posts are included on the top two sources I gave. I am sorry if I am being a little bit subjective in the end, just wanted to express my thoughts and opinion. I wanted to write about the 4th episode but it is too much to include in here so the second source I've put has all the information you need on that. Sorry, I was focusing mostly on the third theory, that's where I was going from the beginning but there are load of stuff about the others ones or this one that I didn't even get to mention. This is work made from amazing people and I am not trying to steal any ideas for myself, I put the sources and I just wanted to write my point of view on it

Have a good day, dear Sherlockians.
And for whoever is discouraged: Don't give up. Even if this is the end, we have 4 whole seasons to rewatch <3