Hey man, i'm not sure if you were aware, but there exists a move tutor for Shedinja at Mt. Pyre Exterior that teaches it Swords Dance and Baton Pass, but it can only learn 1 at a time.
Not much comes to mind when thinking of important items that you can get during the story. Probably a few tm's, but you can always get those later on. There's also the leftovers in the trash bin on the SS Anne, but leftovers can be obtained easily.