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I'm going off the top of my head but here's my list:
1. NPC side quests (all 5 of them). These are mostly important for lore and achievements but two of them (Irina and Jo) do give you unique weapons. Also worth noting, you can complete Irina's quest but miss her weapon drop anyway.
2. Sunglasses: These are tricky, the easiest way to get them involves skipping Jo's side quest but I've heard you can complete her quest and get them if you complete her quest before entering her hideout.
3. Boss Hardcore weapons: Pretty obvious, you get these through doing the hardcore kill on bosses (duh!) so if you don't manage to do the hardcore kill you won't get them (technically the same is true for the regular boss weapons but the hardcore ones are straight upgrades so missing the regular one is less of a concern).
4. Black Cerberus Armor: This is related to Boss hardcore weapons since getting the full set of schematics in a single play-through requires destroying the white cylinders during the boss fight.
5. The Infidel and Most Wanted achievements have to be done before R&D.
6. In the DLC you can miss saving Rusty Rat.
I think that's it for things you can permanently miss. There's plenty of hidden things but you can almost always backtrack to find them later if you want.
The exceptions are the two types of Auxillary Power Cores which are gotten by cutting the tail off a Bloodhound.
There are a lot of extra corridors and rooms that are optional and contain unique items. In the dlc for example, there a very cool weapon hidden behind some ad hologram boards which you must open via a drone board that is also hidden.
There is also all the implants from the DLC A walk in the Park like the Vital Boost XL / Endurance Enhancer XL.
I wouldn't go into another NG+ without collecting all of them.