I'm on my second play through, and I don't know what it is about this game, but I'm really enjoying it more this time around. I'm skipping through all the CS's of course to save time, but I'm still going through this very slowly to make sure I'm getting all the quests and I'm trying to level up in the harder places for betting stat ups (hell, I was even BR 12 going for those high level vultures in Blackdale when I thought I'd just look to see if Dominator was up. Amazingly, he was, but I wiped like 5 times. So I cleared out the zone of all mobs, took down the vultures once or twice and got to BR 14 then somehow beat the NM with only Rush and Baulson left alive. Very epic and fun).
What I would recommend on the second play through thus far, is looks for quests at EVERY opportunity between storyline advancements. Many people (me included the first time) missed one of Emma's early quests because they didn't go back to the pub before trekking out to Elysion the first time. Basically, just keep going to the pub and do every quest available and when they say "Nothing is going on at the moment", it should be safe to move on in the story.
I'm still using
The definitive sidequest list - The Last Remnant Message Board for Xbox 360 - GameFAQs for my quest list. If you do them in order you should be set, but I'd recommend reading through the entire list a few times to make sure you hit any early pre-req's for opening a quest (Ophelia's responses, Recruiting certain leaders, talking to Ghor between bases, etc).
Someone mentioned it in an earlier post, but here are the leaders you want to recruit as soon as they are available so that you can get their quests later (by the way, some have said that some quests are random and you may have to leave and re-enter a city a few times before they become available, I don't know if that's true or not):
Rhagoh, Caedmon, Jager, Nora, Loki, Glenys.
-As Takedown found out, The Fallen NPC apparently disappears after you enter Underwalt, so be sure to get that quest done before you go there for the first time.
-When you get to Balterossa for the first time, I would do For Love the Bell Tolls > The Silent Soul > The Hero > The War of a Thousand Years all back to back. I can't confirm it myself, but I've read some people reporting The Hero quest giver will disappear or never appear depending on the order you do these quests, but the above order worked for me (and is the order listed in the guide).
-The guide also has the quests in order to get all the Roc (Salia) pieces before you go do the Fiery Revolt in Royotia so that you get the 3 items.
I can't offer much in way of what leaders to use since I never got mine high enough in my first play through to be able to say who you should or should not use. Baulson and Pagus are personal favorites for me though, prior I used for pure melee, latter for pure mystics.
Hope that helps some.