One clue that Sherlock Holmes points to but does not discuss until the end of the story is the stained and wrinkled state of Vincent Spaulding's trousers, especially at the knees. Holmes knows that the only explanation for this state, especially since Wilson has already spoken of Spaulding often going into the basement of his building, is that Spaulding is "burrowing." When Holmes sees the City and Suburban bank around the corner, he realizes that Spaulding is digging a tunnel to the bank, with the intent to rob it.
A second clue is the bizarre work of the Red-Headed League, which involves copying out the Encyclopedia Britannica from A to Z. Not only is Wilson paid overly well for doing this pointless task, the work regulations about his being at the office for four hours every afternoon under strict orders not to leave make it clear to Holmes that whoever hired Wilson did so to get him out of the way. This indicates to Holmes that there is something going on in Wilson's building that someone doesn't want Wilson to inadvertently stumble across.
Putting these two clues together, Holmes realizes that Spaulding, who is digging the tunnel to rob the bank, must be the mastermind behind the Red-Headed League, devised because Wilson has red hair. The League is a workable, if unusual, way to get Wilson reliably out of the pawn shop.
These clues are important to the plot because they link together Spaulding's bizarre doings in the pawn shop basement with the Red-Headed League, indicating that a criminal mastermind has anticipated and planned this bank heist carefully. This points Holmes toward the notorious criminal, John Clay (who is Spaulding). The Red-Headed League is also an important clue plot-wise because it is so strange that it can't help but engage the interest of readers and cause them to read on to find out what is really going on.