Is it really possible to create a mind palace?

Yes.

To quote from The Independent about the source of mind palaces:

As it turns out, memory palaces like Holmes’ are a real thing, and have been for thousands of years. It all began with a lucky escape from a collapsing banquet hall by the Ancient Greek poet Simonides, who realised that by visualizing the room where the accident happened, he could perfectly recall the names of all his squashed fellow revellers. He later found a less morbid use for this discovery, by associating things he wanted to remember with walks through buildings he knew well.

The article goes on to describe how many mental athletes around the world use this technique to compete in memory championships, before interviewing a collection of these athletes.

Finally, to use the article's rather lovely conclusion as to why a palace could be useful:

In fact, the ‘Sherlock’ series 3 finale hinted at the prestige knowledge can have in the digitized world: sometimes the only truly safe place to keep information is your own brain. Also, knowing the number for a cab company is very helpful at 3am when your phone is dead. Long live the mind palace.

For more information, you can look up the Method of loci, which is what the memory palace is more traditionally known as. To quote from the Wiki:

'The method of loci', an imaginal technique known to the ancient Greeks and Romans and described by Yates (1966) in her book The Art of Memory as well as by Luria (1969). In this technique the subject memorizes the layout of some building, or the arrangement of shops on a street, or any geographical entity which is composed of a number of discrete loci. When desiring to remember a set of items the subject literally 'walks' through these loci and commits an item to each one by forming an image between the item and any distinguishing feature of that locus. Retrieval of items is achieved by 'walking' through the loci, allowing the latter to activate the desired items. The efficacy of this technique has been well established as is the minimal interference seen with its use.

The page also has an interesting collection of movies and television shows where the technique has been used.

As for learning it yourself? Try this article from Remember Everything

Yes, but...

A mind palace consist of two steps: first, you imagine a location (loci, palace) real or fictitious and second, you must imagine a image association to your topic to memorize inside the location. Also, you need to make encoding to make your memorization simpler and quicker. The method of loci use the

First let's refer to the characters: Sherlock and Magnussen. They both memorize the information, it is not deduced. Though in the case of Sherlock if you are dedicated enough to memorize MO of criminals, statistics and more, it is understandable that he'd be able to make quick correlations between what he remembers and the problem at hand. Magnussen acquired information and memorized it, that's very ound. Both ways can be achieve with a lot of practice and dedication, unless you have curse gift (you have some autism plus better brain activity in memory).

Though thinking about how to survive a gunshot in 5 seconds (s2:e2) that's highly improbable.

For more about the method of loci and great feats of some famous mnemonists:
According to Pliny the Elder:

• The king Cyrus (memorized his army of 10k immortals)
• L. Scipio (could name the citizens of Rome, 200k+)
• The king Pyrrhus (knew the name of many in the city, the senate, the chivalry)
• The king Mithridates (reigned over 22 nations and commanded in their languages)
• Charmidas(remembered the contents of books word by word)

Other mentions: Simonides Melicus, Metrodorus of Scepsis, Saint Thomas Aquinas, Cosmos Rossellius, Mateo Ricci(A Treatise On Mnemonics), Giordano Bruno, Francis Bacon, Rene Descartes, Robert Fludd, Johannes Romberch.

Note: I use this technique in my personal life for studying, knowledge and self development. An example of the effectiveness of this: I memorized the formulas of a class of math, then did the exercises from memory and in the exam I didn't even need to visit my palace, I have it integrated the information in my mind like if I knew these for a long time.

Yes sir.

Read about the method of loci. Create a small 20 loci palace in your home, just one room is all for now. Then encode, and subsequently, attempt to remember 20 random objects.You will surprise yourself, guaranteed. If you doubt it's efficacy and if you have the mettle, I'd recommend creating and testing a 100 palace loci and list.

Once you experience it, then creating a vast palace, or more specifically your own creativity, is the only barrier to having a memory like Hannibal or Sherlock.

Even having only a handful of palaces myself, I can say that what you place in your palace and recall regularly will integrate with you fast and on another level.

You will absolutely be able to start from any point in a list, for example, and go in either direction with ease. The technique was developed (after Simonides) for and by ancient orators, public speakers, as a way to perfectly remember a long speech.

Yes! Though there are a few caveats, it is very possible. There are many memory athletes out there that compete in memorizing a bunch of things (like decks of cards, names and faces, random words...) using the method of Loci.

The thing about a memory palace is that it is hard to get right. Sherlock's representation was, unfortunately, incorrect because he didn't have different locations within his palace. In a sense, his mental palace was more for mental retreat rather than storing information or processing things. To be able to really use your palaces well, you need to have consistency in the size of each location, be very familiar with it, and then all you need to do is just imagine yourself walking through it!

Another issue people face is "cleaning up". This might sound weird but sometimes loci might ghosts of previous information you put there. I'm not sure what exactly people do about this (I'm a memory athlete, but I have always had an issue with this), but it's kind of cool to think about since it's almost like a real physical location.

No.

The kind of mind palace portrayed in Sherlock isn't possible for a normal person. Like most things on TV, they don't work that way in real life.

The technique that the mind palace is based on has been known for thousands of years at least, but it is only really suited to recalling lists of items. The order of cards in a deck, the name of every king of England, digits of Pi etc.

In older versions of Windows when you searched for a file the computer had to simple go through every file in order until it found the one you wanted. A mind palace works like that, it can't be used to simply recall the 37th card in the deck without going through the earlier ones first. Newer versions of Windows create a database of files that allows the OS to quickly skip ahead to the one you want.

--- Edit: ---

Reference: http://remembereverything.org/memory-palace-the-method-of-loci/

"The method of loci is essentially a visual filing system, allowing you to memorize and recall a virtually unlimited number of items in a fixed order." In the TV show characters are shown as using a Mind Palace as random-access storage for brainstorming and free association, as well as instant recall of random facts.

I remembering hearing Ken Campbell talk about time he met Marvin Minsky - MM would have ideas that he wasn't able to process right at that moment, so "put" the new idea into an empty jar that he would come back to - apparently he had shelves full!

Maybe not quite the same as a "Mind Palace", but certainly a different way of considering memory and perception

There's an interview between the two of them here - https://www.youtube.com/watch?v=9U7AluDUoZA - haven't got time to watch it now, but it'll certainly be worth having a look at