Then Water Rondo is the biggest thing you can miss. Grab Mog and return to the cave on the Veldt to jump into the Serpent Trench to learn the Dance. Afterwards, you'll have to walk back to your airship.

Most of the missable items in the WoB are usually hard to find items in one time dungeons like the Atma Weapon in the Sealed Cave or the Break Blade in the Magitek Factory. There are two missable scenes you haven't reached yet. One is after the dinner with Gestahl, if you truck back to Maranda where the Blackjack is stationed and walk into the engine room, you can see a scene with Setzer and Cid that is very easy to miss and gives some foreshadowing for later in the game. After you leave Thamasa, if you come back with both Relm and Strago in your party, you'll get a minor dialogue event that introduces Gung-Ho and foreshadows the Hidon event later.

The conversation with Emperor Gestahl itself will bork you out of getting a few items if you say the wrong thing. There is also the Wounded Soldier quest in Mobliz. He asks you to send items to his girlfriend in Maranda and completing it will net you an easy Tintinibar.