I think Holmes and Watson have more of a homoerotic vibe in the books than in the movie. Movie Watson is totally whipped by his fiance while Movie Holmes is obsessing over the bad girl that left him.
While Watson does marry (twice?) in the books, he doesn't seem terribly committed, nor entirely broken up about the death of his first wife, and he moves back into the Baker Street lodgings. Holmes, as I remember, doesn't ever even have a girlfriend. At no point does Doyle specify that Holmes and Watson are "involved" with one another, but then at no point does he specify that they are not, either.
Personally, I really don't care one way or the other.
It would be really funny if Doyle (were he still alive) pulled a Rowling and said "I always imagined Holmes as gay." It would certainly get attention. I can only imagine the flurry of activity in the libraries of "Christian" elementary schools as they were purged of masterworks of literature now retroactively deemed to be smut.