The deerstalker cap and cape-backed overcoat. The pipe. The grace of gaslit Victoriana. The clop clop of carriage and cobblestone. The fog rolling in from England's imperial seas. Baker Street.
If you can find a copy of the London Sourcebook for 2nd Ed. Shadowrun by FASA, then grab it. Although not for the Victorian Era, there are some good descriptions of the various districts within the great city and the specific businesses section for each district is handy for fleshing out your gaming world.
Sherlock Holmes - Consulting Detective by Sleuth Publications has some very useful background material, props (the 'London Directory' is good fun) and adventure ideas. The map of London is not-to-bad, but the one from Cthulhu by Gaslight is much superior.
Cthulhu by Gaslight by Chaosium has some great background material and a really nice map of Victorian London. It is now avalible as a pdf download too. Google it! I just find the mechanics of the game system woeful.
On a more literary vein you should of cause read the 'Canon' of Sherlock Holmes by Arthur Conan Doyle. Opt for an annotated edition if you are able too.
A Puzzle for Sherlock Holmes by Robert Newman and The Case of The Fagin File by Terrance Dicks are good for background colour and insights into the world of London's street urchins.
Reference works that are useful run to Sherlock Holmes - The Man and His World by H. R. F. Keating, Encyclopaedia Sherlockiana by Matthew E. Bunson, Dining with Sherlock Holmes by Rosenblatt & Sonnenschmidt, The Sherlock Holmes Victorian Cookbook by William Bonnell, London 100 Years Ago - The Charm of Victorian London Illustrated by the Reverend Richard Lovett and finally London's Underworld by Henry Mayhew.
Films that are instructive and good fun run to any of the Basil Rathbone & Nigel Bruce movies (Sherlock Holmes and the Secret Weapon is an old favourite of mine), the BBC series Sir Arthur Conan Doyle's Sherlock Holmes television series with Peter Cushing & Nigel Stock (1965-1968), any of the Jeremy Brett series from Granada Television (catch the earlier ones if you can) and The Hound of the Baskervilles (1982) with Tom Baker. For a different twist, catch the BBC's Sherlock Holmes and the Case of the Silk Stocking with Rupert Everett.
Online you can't go past the fantastic collection of links maintained at Sherlockian.Net. As their introduction states 'Everything the Web offers about Sherlock Holmes is here on Sherlockian.Net'. It's edited by Chris Redmond. The section on the Victorian Era is very useful indeed.
Sherlockian.Net: England and the Victorian Era
The following sites are also excellent sources of background detail and add a wonderful sense of colour to the era.
Money and Coinage in Victorian Britain
The Nineteenth-Century City