"Eglow, Eglonitz—here we are, Egria. It is in a German-speaking country in Bohemia, not far from Carlsbad."
Homles's index is in error. Eger, not Egria, was located in Bohemia. Bohemia today is part of the Czech Republic. Carlsbad (or "Karlsbad") is a city in the Czech Republic about 100 miles from Prague that is famous as a spa. In Conan Doyle's time, Bohemia was part of the Austro-Hungarian Empire.

"Remarkable as being the scene of the death of Wallenstein."
Albrecht Wenzel von Wallenstein (1583-1634) was a Bohemian general during the Thirty Years' War who was assassinated at Eger during a negotiation.

"I am lost without my Boswell."
James Boswell (1740-1795) famously chronicled the life of Samuel Johnson (1709-1784) and is credited with inventing the modern art of biography.

"A nice little brougham and a pair of beauties."
A brougham is a small, closed, four-wheeled carriage pulled by one or two horses, with an open seat for the driver and room for two or four passengers inside.

"A hundred and fifty guineas apiece."
A guinea was an old English coin, worth 21 shillings, or one shilling above a pound. Its name is still used today to add an aura of opulence to a large transaction, although the coin no longer circulated by Conan Doyle's time. In 1888, a rising professional man might earn £700 a year, while a senior clerk might take home £150. Holmes's point is that the horses cost much more than any ordinary person could hope to afford, thus rendering his illustrious client fairly conspicuous and his disguise a bit absurd.

Heavy bands of Astrakhan were slashed across the sleeves and fronts of his double-breasted coat…
Astrakhan wool consists of lambskin with the curled wool still attached. The King's style of dress stands out as exotic, and even barbaric, in Victorian London.

…a black vizard mask…
That is, a mask that covers the upper part of the face from the eyebrows to the nose.

"Your Majesty had not spoken before I was aware that I was addressing Wilhelm Gottsreich Sigismond von Ormstein, Grand Duke of Cassel-Felstein, and hereditary King of Bohemia."
These names are fictional, but speculation about what actual person this character might have represented fed the Victorians' love of royal gossip. So many royals across Europe were implicated in scandals that it is impossible to know if Conan Doyle had someone specific in mind.

"Some five years ago, during a lengthy visit to Warsaw, I made the acquaintance of the well-known adventuress, Irene Adler. The name is no doubt familiar to you."
Irene Adler resembles British actress Lily Langtry (1853-1925), who had an affair with the Prince of Wales. Other sources have been suggested for her character as well. Calling her an "adventuress" (meaning a "gold-digger") is more than a little insulting.
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