Rather self-explanatory, really. My suggestion would be to take care of the story trophies by playing Hard mode first. That will knock out several of the trophies (not going to spam the solution with all of the links, but I will tell you the names):
(Story Trophies)
Total: (16/37)
(Difficulty Trophies)
Total: (19/37)
From this point, you will want to choose to continue playing by returning to the past, with Dr. Nefarious and yada-yada. It will be one of two options after completing the game, the other being Challenge Mode. Leave that for now and concentrate on the collectibles and everything else.
(Bolts)
Total: (23/37)
The bolts shouldn't be a thing to worry about, though. If you don't get it while cleaning up the collectibles and other trophies, you can always leave it for Challenge Mode. It is cumulative, and doesn't reflect on what you currently have, so leave this on the back burner.
(Weapons)
Total: (25/37)
(Clean-Up)
Total: (35/37)
Once you finish that, all that will remain is Challenge Mode and the Platinum trophy.
-and, of course, this trophy: The Lombax Triumphant.