Tonight I watched the death of Mary Watson and I was upset. After surviving a vengeful former comrade who believed that she had betrayed him, she died saving Sherlock from being shot by a mere secretary. It was a wasteful needless death caused almost entirely by Sherlock's need to taunt. And throughout the scene Mary told him to stop and he ignored her because his inability to truly understand human emotion. It was actually a cool flashback to that first episode where Sherlock and Mary met after John had hit him a few times and Sherlock could not understand why his friend wasn't pleased to see him. This time it cost a life.
Then came the last few minutes and the message to save John Watson. Save him from whom? I'm assuming it was the red headed woman on the bus. No idea how Mary knew about his apparent affair, but maybe there is more to E (after Missy anytime a character announces themselves as a letter or short name I can't help think "what's it short for?") and her comment about being a vampire than a simple joke.
If not then the next best guess is himself. At the end of the episode John Watson has lost his wife and turned his back on his best friend. Who will help him put his life back together if the two people who love him the most are not around? I bet the Molly/Watson ficcers are already working on this.
Good thing is there is only a week until we find out.