your in luck! i have just done them all and am on my way to kick sephiroths ass.... okies so here is the side quests i did before completing it...
go to sunken gilenka and morph all the monsters to get sources to bump up yours partys stats
get a gold chocobo and then go fetch the 4 hidden materias
get everyones 4th limits and ultimate weapons
get your chosen 3 characters to level 99
collect every single materia possible incl all abilities learnt (but not neccesarily master all of the materia)
defeat the 3 weapons
um....i thinks thats bout it you should have done all the other side quests coz there obvious and most are part of the story... hope this helps