Historical Context in A Scandal in Bohemia

This is a reference to Albrecht Wenzel Eusebius von Wallenstein (also, Waldstein) (1583-1634), who was a major military commander for Bohemian forces (part of the Hapsburg Empire) during the Thirty Years' War (1618-1648).  He was assassinated in 1634 while in Eger.

Carlsbad (also, Karlsbad) is an area known for its hot-springs and, in the 19th and early 20th centuries, was a fashionable health resort for those who could afford it.  The water has a high mineral and sulphur content, and it was thought to cure, or at least control, many diseases.

Bohemia was a district within the Austro-Hungarian Empire in the 19th century, and Prague was its most important city.  The region is now part of the Czech Republic, and Prague is now the capital city.

Holmes is telling Watson to look for the paper's watermark, which is pressed into the paper while it's still wet and usually identifies the paper's manufacturer and its cotton content (for high-quality paper).  The watermark, because it is a transparent indentation, is visible when a piece of paper is held up to light.

In the late 19th century, this would be equal to about 50 cents, a fairly substantial amount for writing paper at the time.

In the late 19th century, Trincomalee was a city in the eastern Ceylon. It is now a tourist destination and major port city in present-day Sri Lanka.

This is likely a reference to Fyodor Trepoff (modern, Trepov), at the time Chief of Police in St. Petersburg, Russia, and later governor of the city and surrounding area. He was wounded in 1878 in an attempted political assassination.

In the 19th century, Odessa was one of the largest cities in Russia and in now an important city in Ukraine

Holmes uses cocaine regularly when he is not engaged in intense detective work, and his use of cocaine is a constant matter of concern for Watson, who, as a physician, condemns Holmes' use of the drug throughout the Holmes stories.  In the late 19th century, in England and America, the use of cocaine, which was generally available in drugstores, was a concern for politicians and the medical community.

Bohemian, in the late 19th and early 20th centuries, referred to those who followed an unconventional lifestyle.  Anyone who did not follow a socially accepted path in life might be characterized as bohemian. Holmes qualifies because he follows a new and largely unknown profession.