Hey all, I'm about to start my first play through of Bioshock Infinite. I got the collection with the 3 DLC packs. Dunno why I've waited so long but I want to make it a good one. (That is, I want to just let loose and explore on my own but also don't want to be kicking myself for anything later).

Is there any MISSABLE-type stuff that I should pay attention to the first time? I've heard the game is pretty linear, which is great as I just want to see the story, but let me know if I should keep an eye open to veer off the course every once in a while.

played the game shortly after release so can't comment on the DLC contents.
Main game seemed pretty linear for me and i didn't miss anything without having to pay too much attention or having to explore/back track a lot

An Elizabeth / Booker duet
Songs
The collectable audiologs

*MILD SPOILER*
In the beginning, look around, watch and examine everything before you walk up to that stage where a crowd of people has gathered (screenshot). If you go there early, you won't miss anything important in terms of gameplay, but you won't be able to explore the rest of the area afterwards, so if you want to see everything there is and enjoy the atmosphere in peace, go there last.

I played through it and missed lots of things from the previous games, does that count?

If you just want the story, you're going to have to find all the audio tapes etc. It is a little under whelming to be honest, hopefully you'll enjoy it. :)

Good decision ;) Story-wise its on of my favourite games of the last years.

Some of the audio logs are a bit harder to find, but id just go explore as thorough as you like and then go on, there are a few very interesting story bits in the logs but nothing really needed to understand whats going on, if i remember right.

*Not really a spoiler but a light hint at the main story*
Id recommend the Burial at Sea add ons too. Still not sure if i like the connection made to the earlier games but the stealth play in pt.2 is quite nice (and would have fitted the main games story a bit better, in my opinion).