Badass Decay: Used in plot to justify the Milky Holmes' suffering. Not only do they lose their Toys from the get go they get dumber and more inept as the show moves on completely destroying whatever reputation they apparently had before.
In their defense, the show itself didn't bother to explain exactly HOW they got their toys and become magically competent after two seasons of damedame. And the PSP game is well established to be in an alternate universe to the main anime series, which the alleged sequel claims to be a continuation of.
Cargo Ship: Some mix of Screw Yourself and this. Twenty is in love with a hug pillow of himself. He gets angry when Mary and Kate interrupt his "date between me and me!"
Evil Is Sexy: Arsene, most strongly established in the ending. You can see how she gets her subordinates.
Fanon Discontinuity: Many fans dislike Futari wa Milky Holmes so much that they insist Milky Holmes TD is the real third season.
Foe Yay: Arsene has a clearly unhealthy fascination with Sherlock. Both Sherlocks.
Harsher in Hindsight: Marine losing her singing voice is made worse when her voice actress, Emi Nitta, had to go on hiatus due to vocal cord polyps when the anime was airing.
Les Yay: Hercule/Nero, Sherlock/Nero, Kokoro/Sherlock, Kokoro/Irene, Cordelia/Pretty much any girl, are all pairings that have been suggested with various degrees of explicitness within the show itself.
Let's just say that Arsene's obsession with Sherlock drives the whole story.
Futari wa: For Kazumi, it doesn't matter if the world is upside down, as long as she is with Alice, who to her is "shining, beautiful, and like a kitten".