Good Bad Bug: In the dreaded Dash Circuit minigame, you can pause the game and steer the character while in the pause screen. Even better, using the analog stick moves the character slightly in one direction, while the control pad turns them on the spot. Can be used to quickly build up your character's speed, as well as make minor steering adjustments. Virtually a requirement to get the "All Swords Obtained!" trophy.
Scrappy Mechanic: Only certain enemies drop health. You'll be looking for them a lot.
Sidetracked By The Golden Saucer: If you're not trying to beat all the minigames for their items, you can spend lots of time messing around in them. The character customization is loads of fun, too.
That One Achievement: "All Swords Obtained!" Notable in that it requires saving up a lot of the game's white blocks (which has to be done all in one playthrough in the pre-patch version), getting some easily missable items, and finishing That One Sidequest (see below).
"Spelunker Extraordinaire!" also qualifies, as it requires you to complete the entire game as a One Hitpoint Wonder.
Its even harder in the Japanese version, where not only do you have to collect every Key Item, but you also have to beat both Dash Circuit Records, beat Blockout with no Misses, finish all 5 Tower Defense levels perfectly, and complete every single event in the game, most of which don't reward you, disappear after beating a dungeon, and have multiple steps that require you to revisit the person later on (Such as the Armored Core guy, if you forget to visit him between every dungeon you miss out on getting the Armored Core Key Item.)