"Elvis has left the building" is a reference to the famous American singer Elvis Presley. At the end of his concerts, enthusiastic fans would sometimes hope for encores (that is, they'd stay and cheer, hoping that he would play one more song). If he wasn't going to do an encore, sometimes a public service announcer would say, "Ladies and gentlemen, Elvis has left the building," in hopes of getting the crowd to leave. Nowadays, the phrase can mean two things: (1) it can simply mean that "the show/party/event is over." (2) it can also mean that someone has made an exit of some kind. Sometimes, when using this phrase in sense (2), people will plug in the name of the person they're talking about. For example: "Ladies and gentlemen, John has left the building."

They aren't anything you NEED to know, but they're nice to know. They all come from things that are cultural. "Best thing since sliced bread" means that something is a really great and convenient thing. It means this because the invention of slicing bread was super convenient. "Cost an arm in a leg" is an exaggeration- meaning something is so expensive or hard that enable to get it you would have to give up an arm and a leg (but not literally.) etc etc

Best thing since sliced bread means "it is so good and amazing". I don't know why we say it though, I guess because sliced bread was a great invention because it saves time. "costs an arm and a leg" means that it is very expensive, so expensive that it's like you had to give up an arm and a leg to get it. I don't know what Elvis has left the building means. You can try wiktionary http://en.wiktionary.org/wiki/arm_and_a_leg