The sidequests can be found in the Reference section of this guide. I suggest doing the sidequests now as they prove usefull later. Also if you would like to see the secret movie after you beat the game you must complete the following sidequests in addition to everything else in this walkthrough:
Beat the Hades Cup
Lock Winnie the Pooh
Collect all 99 dalmations.
If you have done everything that is required or if you don't want the cool items and the special movie you can continue on in the walkthrough by going to the end of the world, which is the new world directly below Hollow Bastian.