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- If you find a piece of vinyl record (You unlock a new weapon when you find all of the pieces to make an entire vinyl record), the rest will be in the level you are in.
- On a related note, sometimes when you progress paths will open up behind you, so don't be afraid to backtrack in order to discover goodies (I don't think this is ever required to advance the story, though, so you shouldn't need to backtrack in the course of normal play).
- There are methods of making enough money to buy all of the upgrades you need by grinding. Google "Bayonetta grinding tricks" or something similar to discover the various ones, and watch some Youtube videos.
- You can replay levels at any point, and at any difficulty, so it is impossible to miss something - just go back and play it again until you get whatever it is.
- Unlock the Bat Transform technique as soon as it appears in the shop.
- If an Alfheim Portal is giving you trouble, skip it and come back later when you have more moves/weapons at your disposal.