Enemy Skill: After the H0512 battle.
Ifrit: On the Cargo Ship after the Jenova BIRTH battle.
Ramuh: In the jockey waiting room before you enter the first chocobo race.
Added Effect: Cave of the Gi.
Bahamut, Morph, Luck Plus: In the Temple of the Ancients
MP Absorb: Wutai. Cannot be gotten once on disc 3.
Neo Bahamut, MP Turbo: In the Whirlwind Maze.
Steal As Well: If you miss the Leviathan Scales at the Submarine Dock, you can't get this.

That's all the permanently missable materia. You can get Contain before or after Mideel's destruction. Bahamut ZERO, Phoenix and W-Item can be uncovered in Bone Village once you've missed them.