I may be off on this, but I think the first Sephiroth cutscene in the basement of the Shinra Mansion at Nibelheim is missable if you don't go down there your first visit during disc 1 (the one where he throws a materia at you... Destruct?). I didn't even realize you could skip by that part my first time through -- I remember learning that during some speed challenges I used to take part in at another board many many years ago.