There are some chests that you will not be able to get to until close to the end of the game. Traverse Town is the biggest offender of this because it's revisited so often. It's a good idea to revisit each world later in the game to get things you may have missed. Just a couple warnings though. There is a trinity mark in Halloween Town that if not activated before fighting Oogie Boogie, it will be inaccessible forever, so if things like that annoy you make sure to get it when you can. The rewards for this particular mark are nothing special.

Also there is an event that will result in every world getting stronger enemies, when this happens there will also be two superbosses you want to know about because they will happily beat you up if you are unprepared. Kurt Zisa is in Agrabah and he can disable your magic during one of his phases and hits very hard during that phase. The other is the Phantom in Neverland. He is a magic based boss that uses doom to remove your party from the rest of the battle.

Also there are a special group of heartless you should know about. They are all very rare and if you know what to do with them you can get some very nice rewards. The White Mushrooms will do a cute action signaling a specific spell they want you to cast on them, and if you cast the correct spell 3 times they will be very happy and give you lots of presents. The Black Fungus ones are evil and have very high defenses, love to poison you and can make themselves invulnerable for a bit. Finally the blue Rare Truffles are very rare, and when they appear they will be jumping because they love to jump. You have to hit them to see how many times you can help them bounce before they hit the ground, the more you hit them, the better the rewards.