-( Story related, cannot be missed )-
Chapter 1 has five episodes to them. They are, in order:
Episode 1: Buggy the Clown (Nami's introduction)
Episode 2: Captain Kuro of the Thousand Plans (Usopp's introduction)
Episode 3: The Don's Offer (Sanji's introduction)
Episode 4: Arlong Park (for Nami, again)
Episode 5: The Legend Begins (fleeing for the Grand Line)
Starting in this chapter, you will find that you can't get every single Treasure Event for the episodes in one go (excluding Ep.3). Don't let this discourage you, as you will probably be running through all of these for several difficulties and several characters (especially the coins and skills). Just take each objective as critical, as well as the treasure events (so you have less to worry about later).