In an article titled "The game's afoot in New Jersey," the Toronto Star notes that Cape May, NJ is hosting a Sherlock Holmes weekend November 3-5, 2006.
Full weekend packages are available starting at $170 (U.S.) a couple, or $90 a person (not including accommodation). The Search for Clues Tour can be enjoyed separately for $15 a person.
For more information, see the the Web site of the Mid-Atlantic Center for the Arts.
And we of course know that Irene Adler was "born in New Jersey" [SCAN] as her biography notes.
Image credit: Smallbones (Own work) [CC BY-SA 3.0 (http://creativecommons.org/licenses/by-sa/3.0)], via Wikimedia Commons