From: ep. 3.1, 2, and 3
Line: (variations on:) MYCROFT: The East wind is coming.
Reference: In the BBC series, this phrase refers to a scary story Mycroft would tell Sherlock as a child (at least that’s the indication). In canon story “His Last Bow,” a Sherlock Holmes in his sixties says to elderly Watson, just after they unmask a German spy, “There’s an East wind coming,” referring to the onset of World War One. Watson responds that he thinks on the contrary, it’s very warm. This optimism makes Holmes muse upon the impending terrible times thusly:
Good old Watson! You are the one fixed point in a changing age. There’s an east wind coming all the same, such a wind as never blew on England yet. It will be cold and bitter, Watson, and a good many of us may wither before its blast. But it’s God’s own wind none the less, and a cleaner, better, stronger land will lie in the sunshine when the storm has cleared.