SO19 is the Specialist Firearms Command of the Metropolitan Police, roughly the equivalent of SWAT in US police departments. It is now called CO19.
The night train sequence had originally been scheduled to be filmed aboard a train departing from London's Waterloo Station, but permission was revoked and the production relocated to Dereham in Norfolk to complete the sequence.
Expo is short for Explosive Officer. He or she deals with diffusing Improvised Explosive Devices.
Critical Shot in British Policing indicates shooting to ensure the subject is incapacitated.
The building that David Budd drives into to meet his boss after the train incident is Watford Telephone Exchange. It's also used as the external view of the hospital and also his HQ.