Opium

Isa Whitney, brother of the late Elias Whitney, D.D., Principal of the Theological College of St. George's, was much addicted to opium.
(Adventure VI, pg. 72)

       

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Cigar holder

"Is a tall man, left-handed, limps with the right leg, wears thick-soled shooting-boots and a grey cloak, smokes Indian cigars, uses a cigar-holder, and carries a blunt pen-knife in his pocket. There are several other indications, but these may be enough to aid us in our search."

(Adventure IV, pg. 55)

The habit of smoking cigars developed around the end of the 1800s and beginning of the 1900s. The image above shows an antique 1900s cigar holder.

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Cigarette

"Quite so," he answered, lighting a cigarette, and throwing himself down into an armchair. "You see, but you do not observe. The distinction is clear. For example, you have frequently seen the steps which lead up from the hall to this room." 
(Aventure I, A SCANDAL IN BOHEMIA pg. 4)

The first cigarette-making machine was developed in 1880 by James Albert Bonsack. The machine, which was able to produce 200 cigarettes per minute, vastly increased the productivity of cigarette companies, who went from making approximately 40,000 hand-rolled cigarettes daily to around 4 million.

Cocaine

"[...], while Holmes, who loathed every form of society with his whole Bohemian soul, remained in our lodgings in Baker Street, buried among his old books, and alternating from week to week between cocaine and ambition, the drowsiness of the drug, and the fierce energy of his own keen nature."
(Aventure I, A SCANDAL IN BOHEMIA pg. 3)

While the stimulant and hunger-suppressant properties of coca had been known for many centuries, cocaine was first isolated in 1855 by the German chemist Friedrich Gaedcke. Cocaine is presented as a vice in Arthur Conan Doyle's story, and is often used by Sherlock Holmes to offset boredom and as a way to stimulate his brain.