several
You Philia rescued from Hollow zone or else an early aincrad gallery item will be missing until a second playthrough, so avoid aincrad stuff until Hollow is beaten. (Acheviment is related to gallery one)
Next is making sure you get last attack bonus and no one dies on each floor until final one. (Game autosaves upon leaving results screen, so Force quit game while at results if you did not get it)
Last thing to worry about is seeing the bad ending of Strea before doing thbe event to get Hollow Strea . (Event gallery related that is missable even on newgame+)
I do not recall anything else (been awhile) other then covering events as you progress for gallery purposes and affininty stuff.

Ok so basically I will not touch Aincrad before beating Hollow, last attack bonus and no die run.
About that ending I don't know exactly what should I do, but I think I've to think about that just before the last Hollow boss so I can think of it in late game I assume.
Thank you very much Phazon! :)

Having 100% the game in my 1st run I thing the missable is the cook CG as you get 1 if Phili is not free when you finish that even and 2 if you free Philia before that event. Also Get Strea's trust/affinity with MC high as some of her Events seem to require her to be that before she leaves. Get Argo and the Secret Spear NPC(Unlocked after Free Philia like another 1H Sword Secret Character) To Max Trust then go to the garden with both females for their CGs. Then Finish the game Without Rescuing the 2H Sword Party Member and THEN finish the game once more with her Rescued. If you Freed Philia you will get a Choice after Beating GM, Pick Investigate and fight and win Against Miss Absolute Sword. I think only those are all and for the others the Achievement guide in the game should help you with the rest.