Missing Episode: "Forging a Friendship", the "Air Force One on the Megaship" episode with Cassie and Maya, was discarded after Patricia Ja Lee's contract dispute with Saban Entertainment forced her off the show. A transcription of its script was eventually leaked to the fandom and confirmed authentic by the writers.
Old Shame: Danny Slavin, who essentially took the role of Leo to pay for law school and pretty much retired from acting afterwards. Nasty behind the scenes crap that went on while filming the Lost Galaxy/Lightspeed Rescue team-up the following season (essentially, the producers tried to screw over Amy Miller, the actress who played Trakeena, as far as refusing to pay her the salary they had previously agreed to; Slavin literally walked off the set alongside Miller in protest of this, forcing the producers to have to hire a body double for the remainder of his scenes and pretty much avoid showing his face during the team-up episode) only widened the gap. He also initially refused to appear in "Forever Red", only agreeing to film several scenes as a personal favor to one of the producers after filming wrapped, scenes that were ultimately added to the final cut of the episode, and has distanced himself from the character ever since, turning down numerous invitations to appear at Morphicon, the annual Power Rangers fan convention. Which makes him accepting his Megaforce cameo invitation all that more bizarre.
Recently, however, he has announced that he will be attending Morphicon 2014 as well as the Phoenix Comic-con. That, combined with his accepting his Megaforce cameo, may mean he has moved on...
It's also worth noting that this series also recycles several monster costumes from previous Power Rangers series (some unused) as well as some from its sister series, Big Bad Beetleborgs.
Furio, the villain responsible for petrifying all of Mirinoi in the season premiere, was the monster form of Dr. Hinelar, the main villain of Denji Sentai Megaranger. That's largely the reason Furio isn't around too long, he wasn't in Gingaman.
Romance on the Set: Between Reggie Rolle (Damon) and Amy Miller (Trakeena). They are happily married to this day.
The cast was also promised a reunion movie, they never got it. Also in the team-up with Lightspeed Rescue most of the plot centers around a little girl than the actual Rangers. This lead to Danny Slavin and Amy Miller storming off the set, refusing to come back to the franchise (except for a single appearance in Forever Red, and the upcoming Megaforce cameo noted above, Slavin has refused to have anything to do with the franchise, even refusing to attend conventions).
They STARTED with having to turn a nature-themed Sentai into a space themed one, due to the success of Power Rangers in Space.
Then, early in the season, the Lights of Orion arc began, and it's near incomprehensible, because episodes were still being filmed in the week before their airdate.
When that finished, they began an arc involving the Galaxy Book, which would tie in with the two carrier Zords (which actually DID resemble the space theme to an extent, but they were rarely used in the source material so there wasn't a lot to work with), but then Valerie Vernon developed leukemia. Her character, Kendrix, was heavily involved in the plans for the Galaxy Book, which meant that arc had to rapidly be rewritten.
The original plan was for Patricia Ja Lee, the Pink Ranger from In Space, would take over. They filmed the hand off and an episode with her joining the team (which was an American-footage exclusive episode, referred to occasionally as 'Air Force Oneon the Megaship'), but then, due to pay issues, Patricia Ja Lee walked off the set. She was quickly swapped in with Karone, requiring ANOTHER two American-exclusive footage heavy episodes.
Still TRYING to do something resembling their originally planned arc, they send Terra Venture to the Lost Galaxy (the one in the title they supposedly were supposed to be heading towards). It turns out as essentially a Filler Arc, likely incorporating as much Sentai footage in order to save money for the finale.
Then, the series is pulled before the finale airs, later put out as a 'special presentation' with little promotion.
What Could Have Been: See above, and while several great plots arose from putting in Karone originally Cassie was to replace her, there's a lot of What Could Have Been if Valerie Vernon (Kendrix) didn't get sick or if Patricia Ja Lee (Cassie) had taken the part.
Actually, there was a lot of What Could Have Been even besides all that. Due to some Executive Meddling, there were a lot of last minute script changes, such as the Lights of Orion being on a cave on some forest planet, rather than on Terra Venture (which would've made a lot more sense.)
The cast was originally going to reunite for a full length Lost Galaxy movie. Instead, they got a mediocre 2-parter with the Lightspeed Rescue team.