In Sir Arthur Conan Doyle's "His Last Bow," the East Wind is first mentioned in an exchange between Holmes and Watson at the end of the short story:
"There's an east wind coming, Watson."
"I think not, Holmes. It is very warm."
"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 nonetheless, and a cleaner, better, stronger land will lie in the sunshine when the storm has cleared."
The east wind, in this context, represents World War I. In BBC's 'Sherlock,' though, the east wind takes on a different meaning, through a story Mycroft told young Sherlock, as Sherlock relates in "His Last Vow": "The East Wind takes us all in the end...It's a story my brother told me when we were kids. The East Wind - this terrifying force that lays waste to all in its path. It seeks out the unworthy and plucks them from the earth...That was generally me."
In conjuring this frightening menace to scare his little brother (proving once and for all how much Mycroft and Sherlock's relationship has improved since their childhood), Mycroft may have been referencing several literary works, including the Bible. In the book of Genesis, Pharaoh tells Joseph of his dream where seven ears of corn are blasted by the east wind. Later, in Exodus, the east wind is the force that summons the locusts during one of the ten plagues and parts the Red Sea. The east wind is also mentioned in books such as J. R. R. Tolkien's 'The Two Towers' and Charles Dickens' 'Bleak House,' where it is usually associated with impending misfortune and destruction.
What's interesting about the east wind in 'Sherlock' is, while it still has the same destructive connotations, it's personified by one of the show's characters. What's even more interesting is that the east wind is personified by different characters, depending on who's perspective we take.
For Sherlock, the east wind is Mary, as can be seen in his mind palace after she shoots him. In our first reference to the east wind in the episode, Mind-Palace Mycroft tells Sherlock, "The East Wind is coming, Sherlock. It's coming to get you." Immediately after he says this, Mind-Palace Mary appears in her wedding dress and shoots Sherlock again. To Sherlock, Mary represents the formidable force that has destroyed his life, specifically his life with John; her appearing in her wedding dress is especially telling, as John and Mary's wedding is when Sherlock truly accepts that John has someone in his life who is just as important, if not more so, than Sherlock. Sherlock chooses to trust her, to accept her in John's life, and now she has betrayed that trust.
If "[t]he East Wind takes us all in the end," Mary has "taken" and killed Sherlock, and, if she "lays waste to all in [her] path," she is now a danger to John, which Sherlock realizes and comes back to life in order to protect John. Sherlock has been "plucked from the earth" by Mary and therefore thinks of himself as "the unworthy," as he was too slow in realizing Mary's true identity.
For John, though, the east wind is Sherlock, as can be seen at the very end of "His Last Vow," when Moriarty has seemingly made his return:
Mary: "So how can he [Moriarty] be back?"
John: "Well, if he is, he'd better wrap up warm. There's an East Wind coming."
The camera then immediately cuts to a shot of Sherlock's plane coming in to land on the runway.
With this single line, we can truly see Sherlock through John's eyes. We have seen how Sherlock can be a "terrifying force" to be reckoned with when someone he loves is in danger, using his intellect or simply violence to disarm his adversaries, whether to avenge Mrs. Hudson in "A Scandal in Belgravia" or to negotiate with Magnussen to protect Mary in "His Last Vow." However, it takes murdering Magnussen for Sherlock to become the East Wind. Magnussen has become "unworthy" to live when he threatens John and Mary, and so Sherlock "plucks [him] from the earth."
Sherlock has become what Mycroft unwittingly predicted, and yet, perhaps for the first time, the east wind is not construed as evil or unjust. Sherlock is dangerous, he can be a threat, and he isn't above murder, but he does it for the people he loves and wants to protect - John, Mary, Mrs. Hudson, and even Lestrade. There is justice in Sherlock laying waste to those in his path - Magnussen, the Napoleon of blackmail, and perhaps eventually Moriarty, the world's greatest criminal mastermind. If, in Moriarty's return, he chooses to once again threaten the lives of the people Sherlock loves - this time maybe even Janine and Molly Hooper - I have no doubt the east wind will take him.
Perhaps there's even some foreshadowing in Sherlock's pronouncement that "[t]he East Wind takes us all in the end." Sherlock's greatest weakness has always been some fatal flaw within himself - either his tendency to underestimate people, as he did with Moriarty, Mary, and Magnussen, or his inability to master his emotions. We caught a glimpse of his more emotional side in "The Hounds of Baskerville" when the Baskerville drugs bring out his terror and make him unable to think logically; he explains to, or rather rants at, John that emotions are "the fly in the ointment," clouding his judgment. We see this most clearly in Season 3, particularly in "The Sign of Three" when John and Mary's wedding has made him so emotionally unstable that he's unable to solve the case until it's nearly too late.
If Sherlock's ultimate downfall is himself, I can only imagine what the future may hold - perhaps Sherlock may become so emotionally involved with the person Moriarty chooses to threaten that he won't be able to think clearly enough to save them. Emotion has always been detrimental to his intellect, but it's also the key to humanizing him and showing his heart. Emotion is also the drive behind the avenging force that is the East Wind - something Moriarty should be wary of when he engages Sherlock again.